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".
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.5-3 |
2026-04-09 windows/windows R-4.5 | fracdiff_1.5-3.zip |
103.6 KiB |