All Tools Bookmark

Share

http://online-toolz.com/tools/r-package-details.php?p=fracdiff

Facebook Share Twitter Share

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).

fracdiff.pdf