fracdiff Maximum likelihood estimation of the parameters of a fractionally
differenced ARIMA (p,d,q) model. For long-memory dependence in
time series. (Haslett and Raftery, Applied Statistics 38, 1989, 1-50).
See the help files for details.
The original S/S-plus package by Chris Fraley, Department of Statistics,
University of Washington, has been converted for usage with R;
see README.orig, also for copyright.
I’ve converted all single precision floats to double precision (both
in the R file and the Fortran sources), as R didn’t support single
precision (in 1999).
Fritz Leisch, TU Wien, Austria
The package was orphaned in Summer 2003, and after asking Fritz and Chris
Fraley, I have become the new maintainer in December 2003.
I’ve managed to locate and eradicate the bug leading to wrong hessian,
covariance and correlation matrix estimates.
Martin Maechler, ETH Zurich, Switzerland
See the files ./TODO and ./Done and ./ChangeLog on TODOs and ideas
See the file ./Calling (and then src/ftn-struc) about code organization
~~~~~~~~~
fracdiff Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA (p,d,q) model. For long-memory dependence in time series. (Haslett and Raftery, Applied Statistics 38, 1989, 1-50).
See the help files for details.
The original S/S-plus package by Chris Fraley, Department of Statistics, University of Washington, has been converted for usage with R; see README.orig, also for copyright.
I’ve converted all single precision floats to double precision (both in the R file and the Fortran sources), as R didn’t support single precision (in 1999).
Fritz Leisch, TU Wien, Austria
The package was orphaned in Summer 2003, and after asking Fritz and Chris Fraley, I have become the new maintainer in December 2003. I’ve managed to locate and eradicate the bug leading to wrong hessian, covariance and correlation matrix estimates.
Martin Maechler, ETH Zurich, Switzerland
See the files ./TODO and ./Done and ./ChangeLog on TODOs and ideas
See the file ./Calling (and then src/ftn-struc) about code organization ~~~~~~~~~