fracdiff

MaRDI QIDQ26585swMATHCRANFDO

Authors Martin Maechler

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

Description

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
• 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
• dynlm
• tsqn
• FastGP
• dyn
• portes
• LongMemoryTS
• WaveletArima
• WaveletANN
• esemifar
• ufRisk
• LPM
• WaveletRF
• WaveletSVR
• DCSmooth
• WaveletGARCH
• tsfeatures
• SlidingWindows
• Applied Econometrics with R
• Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
• Detrended multiple cross-correlation coefficient with sliding windows approach
• Analysis of integrated and co-integrated time series with R

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