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

Canonical link: https://rscholar.com/pkg/fracdiff

Martin Maechler • Chris Fraley • Friedrich Leisch • Valderio Reisen • Artur Lemonte • Rob Hyndman • View description and downloads View dependencies GitHub project

1999 Published

1.5-3 Version

0 Citations

6 Authors

Referenced by ⇅	Year
sutteForecastR: Forecasting Data using Alpha-Sutte Indicator (Version 0.1)	2017
fractalRegression: Performs Fractal Analysis and Fractal Regression (Version 1.2)	2021
CliftLRD: Complex-Valued Wavelet Lifting Estimators of the Hurst Exponent for Irregularly Sampled Time Series (Version 0.1-1)	2018
DCSmooth: Nonparametric Regression and Bandwidth Selection for Spatial Models (Version 1.1.2)	2021
LPM: Linear Parametric Models Applied to Hydrological Series (Version 3.2)	2015
LongMemoryTS: Long Memory Time Series (Version 0.1.0)	2019
TSF: Two Stage Forecasting (TSF) for Long Memory Time Series in Presence of Structural Break (Version 0.1.1)	2017
WaveletANN: Wavelet ANN Model (Version 0.1.2)	2019
WaveletArima: Wavelet-ARIMA Model for Time Series Forecasting (Version 0.1.2)	2017
WaveletGARCH: Fit the Wavelet-GARCH Model to Volatile Time Series Data (Version 0.1.1)	2019
WaveletRF: Wavelet-RF Hybrid Model for Time Series Forecasting (Version 0.1.0)	2022
WaveletSVR: Wavelet-SVR Hybrid Model for Time Series Forecasting (Version 0.1.0)	2022
esemifar: Smoothing Long-Memory Time Series (Version 2.0.1)	2021
feasts: Feature Extraction and Statistics for Time Series (Version 0.4.1)	2019
forecast: Forecasting Functions for Time Series and Linear Models (Version 8.23.0)	2009
liftLRD: Wavelet Lifting Estimators of the Hurst Exponent for Regularly and Irregularly Sampled Time Series (Version 1.0-9)	2016
longmemo: Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality (Version 1.1-3)	2005
memochange: Testing for Structural Breaks under Long Memory and Testing for Changes in Persistence (Version 1.1.1)	2019
rugarch: Univariate GARCH Models (Version 1.5-3)	2011
sweep: Tidy Tools for Forecasting (Version 0.2.5)	2017
timetk: A Tool Kit for Working with Time Series (Version 2.9.0)	2017
tsfeatures: Time Series Feature Extraction (Version 1.1.1)	2019
tsqn: Applications of the Qn Estimator to Time Series (Univariate and Multivariate) (Version 1.0.0)	2017
ufRisk: Risk Measure Calculation in Financial TS (Version 1.0.7)	2022

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