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fracdiff - MaRDI portal

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fracdiff (Q26585)

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Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
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English
fracdiff
Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models

    Statements

    instance of
    R package
    0 references
    software version identifier
    1.5-2
    publication date
    31 October 2022
    0 references
    1.0-5
    publication date
    19 May 1999
    0 references
    1.0-6
    publication date
    15 May 2001
    0 references
    1.0-7
    publication date
    12 December 2001
    0 references
    1.0-8
    publication date
    3 July 2002
    0 references
    1.0-9
    publication date
    16 July 2003
    0 references
    1.1-0
    publication date
    30 December 2003
    0 references
    1.1-1
    publication date
    14 January 2004
    0 references
    1.1-2
    publication date
    22 June 2005
    0 references
    1.2-1
    publication date
    3 July 2005
    0 references
    1.2-2
    publication date
    20 July 2005
    0 references
    1.3-0
    publication date
    6 February 2006
    0 references
    1.3-1
    publication date
    8 September 2006
    0 references
    1.3-2
    publication date
    9 June 2009
    0 references
    1.4-0
    publication date
    9 August 2011
    0 references
    1.4-1
    publication date
    22 March 2012
    0 references
    1.4-2
    publication date
    2 December 2012
    0 references
    1.5-0
    publication date
    17 January 2020
    0 references
    1.5-1
    publication date
    24 January 2020
    0 references
    1.5-3
    publication date
    1 February 2024
    0 references
    programmed in
    R
    0 references
    last update
    1 February 2024
    0 references
    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".
    0 references
    author
    Martin Maechler
    0 references
    imports
    stats
    0 references

    Identifiers

    swMATH work ID
    14688
    0 references
    CRAN project
    fracdiff
    0 references
     
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