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Package: fracdiff
Version: 1.5-3
VersionNote: Released 1.5-0 on 2019-12-09, 1.5-1 on 2020-01-20, 1.5-2
on 2022-10-31
Date: 2024-02-01
Title: Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
Authors@R: c(person("Martin","Maechler", role=c("aut","cre"), email="maechler@stat.math.ethz.ch",
comment = c(ORCID = "0000-0002-8685-9910"))
, person("Chris", "Fraley", role=c("ctb","cph"), comment = "S original; Fortran code")
, person("Friedrich", "Leisch", role = "ctb",
comment = c("R port", ORCID = "0000-0001-7278-1983"))
, person("Valderio", "Reisen", role="ctb", comment = "fdGPH() & fdSperio()")
, person("Artur", "Lemonte", role="ctb", comment = "fdGPH() & fdSperio()")
, person("Rob", "Hyndman", email="Rob.Hyndman@monash.edu", role="ctb",
comment = c("residuals() & fitted()", ORCID = "0000-0002-2140-5352"))
)
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".
Imports: stats
Suggests: longmemo, forecast, urca
License: GPL (>= 2)
URL: https://github.com/mmaechler/fracdiff
BugReports: https://github.com/mmaechler/fracdiff/issues
Encoding: UTF-8
NeedsCompilation: yes
Packaged: 2024-02-01 08:45:38 UTC; maechler
Author: Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>),
Chris Fraley [ctb, cph] (S original; Fortran code),
Friedrich Leisch [ctb] (R port,
<https://orcid.org/0000-0001-7278-1983>),
Valderio Reisen [ctb] (fdGPH() & fdSperio()),
Artur Lemonte [ctb] (fdGPH() & fdSperio()),
Rob Hyndman [ctb] (residuals() & fitted(),
<https://orcid.org/0000-0002-2140-5352>)
Maintainer: Martin Maechler <maechler@stat.math.ethz.ch>
Repository: CRAN
Date/Publication: 2024-02-01 10:00:02 UTC
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