Package: fracdiff 1.5-4

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".

Authors:Martin Maechler [aut, cre], Chris Fraley [ctb, cph], Friedrich Leisch [ctb], Valderio Reisen [ctb], Artur Lemonte [ctb], Rob Hyndman [ctb]

fracdiff_1.5-4.tar.gz
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fracdiff_1.5-4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
fracdiff/json (API)

# Install 'fracdiff' in R:

install.packages('fracdiff', repos = c('https://mmaechler.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/mmaechler/fracdiff/issues

Uses libs:

openblas– Optimized BLAS

On CRAN:

openblas

11.24 score 21 stars 1.3k packages 440 scripts 469k downloads 7 exports 0 dependencies

Last updated from:227c4d8944. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	126
linux-devel-x86_64	OK	112
source / vignettes	OK	192
linux-release-arm64	OK	105
linux-release-x86_64	OK	90
macos-release-arm64	OK	85
macos-release-x86_64	OK	183
macos-oldrel-arm64	OK	76
macos-oldrel-x86_64	OK	134
windows-devel	OK	79
windows-release	OK	80
windows-oldrel	OK	79
wasm-release	OK	96

Exports:confint.fracdiff diffseries fdGPH fdSperio fracdiff fracdiff.sim fracdiff.var

Dependencies:

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Confidence Intervals for Fracdiff Model Parameters	confint.fracdiff
Fractionally Differenciate Data	diffseries
Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)	fdGPH
Sperio Estimate for 'd' in ARFIMA(p,d,q)	fdSperio
ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models	fracdiff
Many Methods for "fracdiff" Objects	coef.fracdiff fitted.fracdiff logLik.fracdiff print.fracdiff print.summary.fracdiff residuals.fracdiff summary.fracdiff vcov.fracdiff
Simulate fractional ARIMA Time Series	fracdiff.sim
Recompute Covariance Estimate for fracdiff	fracdiff.var