fracdiff
swMATH14688CRANfracdiffMaRDI QIDQ26585FDOQ26585
Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
Last update: 1 February 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 1.5-2, 1.0-5, 1.0-6, 1.0-7, 1.0-8, 1.0-9, 1.1-0, 1.1-1, 1.1-2, 1.2-1, 1.2-2, 1.3-0, 1.3-1, 1.3-2, 1.4-0, 1.4-1, 1.4-2, 1.5-0, 1.5-1, 1.5-3
Source code repository: https://github.com/cran/fracdiff
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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