Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
Confidence Intervals for Fracdiff Model Parameters
Fractionally Differenciate Data
Many Methods for "fracdiff" Objects
Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)
Sperio Estimate for 'd' in ARFIMA(p,d,q)
ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models
Simulate fractional ARIMA Time Series
Recompute Covariance Estimate for fracdiff
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".