fracdiff (Q26585)
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Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | fracdiff |
Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models |
Statements
1 February 2024
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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".
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expanded from: GPL (≥ 2) (English)
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