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

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".

Version: 1.5-3
Imports: stats
Suggests: longmemo, forecast, urca
Published: 2024-02-01
DOI: 10.32614/CRAN.package.fracdiff
Author: Martin Maechler ORCID iD [aut, cre], Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch ORCID iD [ctb] (R port), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman ORCID iD [ctb] (residuals() & fitted())
Maintainer: Martin Maechler <maechler at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README ChangeLog
In views: Finance, TimeSeries
CRAN checks: fracdiff results


Reference manual: fracdiff.pdf


Package source: fracdiff_1.5-3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): fracdiff_1.5-3.tgz, r-oldrel (arm64): fracdiff_1.5-3.tgz, r-release (x86_64): fracdiff_1.5-3.tgz, r-oldrel (x86_64): fracdiff_1.5-3.tgz
Old sources: fracdiff archive

Reverse dependencies:

Reverse depends: tsqn
Reverse imports: DCSmooth, esemifar, forecast, LongMemoryTS, LPM, memochange, TSF, tsfeatures, ufRisk, WaveletANN, WaveletArima, WaveletGARCH, WaveletRF, WaveletSVR
Reverse suggests: CliftLRD, feasts, liftLRD, sweep, timetk
Reverse enhances: longmemo


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