fracdiff

1.5-3

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".

Released on 2024-02-01 10:00:02 UTC

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