Fractional ARIMA (and Other Long Memory) Time Series Modeling
Information criteria for arfima objects
Simulates, fits, and predicts persistent and anti-persistent time seri...
Fit ARFIMA, ARIMA-FGN, and ARIMA-PLA (multi-start) modelsFits ARFIMA/A...
Simulate an ARFIMA time series.
Exact MLE for ARFIMAThe time series is corrected for the sample mean a...
Prints changes to the package since the last update. Started in 1.4-0
Converts AR/MA coefficients from operator space to the PACF space
Finds the best modes of an arfima fit.
Extract Model Coefficients
The distance between modes of an arfima fit.
Extract Model Fitted Values
The Fisher information matrix of an ARFIMA process
Checks invertibility, stationarity, and identifiability of a given set...
Exact log-likelihood of a long memory model
Exact log-likelihood of a long memory model with a transfer function m...
Extract Log-Likelihood Values
Converts AR/MA coefficients from the PACF space to operator space
Plots the original time series, the predictions, and the prediction in...
Plots the output from a call to tacvf
Predicts from a fitted object.
Prints a Fitted Object
Prints predictions and prediction intervals
Prints the output of a call to summary on an arfima object
Prints a tacvf object.
Removes a mode from an arfima fit.
Extract the Residuals of a Fitted Object
Simulate an ARFIMA time series from a fitted arfima object.
Extensive Summary of an Object
Plots the theoretical autocorralation functions (tacfs) of one or more...
Extracts the tacvfs of a fitted object
The theoretical autocovariance function of a long memory process.
Extracts the Variance-Covariance Matrix
Weeds out fits from a call to arfima that are too close to each other.
Simulates, fits, and predicts long-memory and anti-persistent time series, possibly mixed with ARMA, regression, transfer-function components. Exact methods (MLE, forecasting, simulation) are used. Bug reports should be done via GitHub (at <https://github.com/JQVeenstra/arfima>), where the development version of this package lives; it can be installed using devtools.