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".

Version:	1.5-3
Imports:	stats
Suggests:	longmemo, forecast, urca
Published:	2024-02-01
DOI:	10.32614/CRAN.package.fracdiff
Author:	Martin Maechler [aut, cre], Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch [ctb] (R port), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman [ctb] (residuals() & fitted())
Maintainer:	Martin Maechler <maechler at stat.math.ethz.ch>
BugReports:	https://github.com/mmaechler/fracdiff/issues
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://github.com/mmaechler/fracdiff
NeedsCompilation:	yes
Materials:	README ChangeLog
In views:	Finance, TimeSeries
CRAN checks:	fracdiff results

Documentation:

Reference manual:

fracdiff.pdf

Downloads:

Package source:	fracdiff_1.5-3.tar.gz
Windows binaries:	r-devel: fracdiff_1.5-3.zip, r-release: fracdiff_1.5-3.zip, r-oldrel: fracdiff_1.5-3.zip
macOS binaries:	r-release (arm64): fracdiff_1.5-3.tgz, r-oldrel (arm64): fracdiff_1.5-3.tgz, r-release (x86_64): fracdiff_1.5-3.tgz, r-oldrel (x86_64): fracdiff_1.5-3.tgz
Old sources:	fracdiff archive

Reverse dependencies:

Reverse depends:	tsqn
Reverse imports:	DCSmooth, esemifar, forecast, LongMemoryTS, LPM, memochange, rugarch, TSF, tsfeatures, ufRisk, WaveletANN, WaveletArima, WaveletGARCH, WaveletRF, WaveletSVR
Reverse suggests:	CliftLRD, feasts, liftLRD, sweep, timetk
Reverse enhances:	longmemo

Linking:

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