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
Official website: https://cran.r-project.org/web/packages/fracdiff/index.html
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".
Cited In (33)
- EWMA control charts for detecting changes in the mean of a long-memory process
- SlidingWindows
- Not all estimators are born equal: the empirical properties of some estimators of long memory
- A fast fractional difference algorithm
- fBasics
- forecast
- Resampling Stats
- FitAR
- Waveslim
- tmvtnorm
- longmemo
- fSeries
- extraDistr
- Applied Econometrics with R
- dynlm
- tsqn
- FastGP
- dyn
- portes
- LongMemoryTS
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- WaveletArima
- WaveletANN
- esemifar
- ufRisk
- LPM
- WaveletRF
- WaveletSVR
- DCSmooth
- Detrended multiple cross-correlation coefficient with sliding windows approach
- WaveletGARCH
- tsfeatures
- Analysis of integrated and co-integrated time series with R
This page was built for software: fracdiff
