fracdiff
Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989); including inference and basic methods. Some alternative algorithms to estimate "H".
- Version1.5-3
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release02/01/2024
Documentation
Team
Martin Maechler
Chris Fraley
Show author detailsRolesContributor, Copyright holderFriedrich Leisch
Valderio Reisen
Show author detailsRolesContributorArtur Lemonte
Show author detailsRolesContributorRob Hyndman
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