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).

Version: 1.4-2
Suggests: longmemo, urca
Published: 2012-12-02
Author: S original by Chris Fraley, U.Washington, Seattle. R port by Fritz Leisch at TU Wien; since 2003-12: Martin Maechler; fdGPH(), fdSperio(), etc by Valderio Reisen and Artur Lemonte.
Maintainer: Martin Maechler <maechler at stat.math.ethz.ch>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README ChangeLog
In views: Finance, TimeSeries
CRAN checks: fracdiff results

Downloads:

Reference manual: fracdiff.pdf
Package source: fracdiff_1.4-2.tar.gz
MacOS X binary: fracdiff_1.4-2.tgz
Windows binary: fracdiff_1.4-2.zip
Old sources: fracdiff archive

Reverse dependencies:

Reverse imports: forecast
Reverse enhances: longmemo