nsarfima: Methods for Fitting and Simulating Non-Stationary ARFIMA Models

Routines for fitting and simulating data under autoregressive fractionally integrated moving average (ARFIMA) models, without the constraint of covariance stationarity. Two fitting methods are implemented, a pseudo-maximum likelihood method and a minimum distance estimator. Mayoral, L. (2007) <doi:10.1111/j.1368-423X.2007.00202.x>. Beran, J. (1995) <doi:10.1111/j.2517-6161.1995.tb02054.x>.

Depends: R (≥ 3.6.0)
Published: 2020-08-06
DOI: 10.32614/CRAN.package.nsarfima
Author: Benjamin Groebe [aut, cre]
Maintainer: Benjamin Groebe <ben.groebe at gmail.com>
License: GPL (≥ 3)
NeedsCompilation: no
In views: TimeSeries
CRAN checks: nsarfima results


Reference manual: nsarfima.pdf


Package source: nsarfima_0.2.0.0.tar.gz
Windows binaries: r-devel: nsarfima_0.2.0.0.zip, r-release: nsarfima_0.2.0.0.zip, r-oldrel: nsarfima_0.2.0.0.zip
macOS binaries: r-release (arm64): nsarfima_0.2.0.0.tgz, r-oldrel (arm64): nsarfima_0.2.0.0.tgz, r-release (x86_64): nsarfima_0.2.0.0.tgz, r-oldrel (x86_64): nsarfima_0.2.0.0.tgz
Old sources: nsarfima archive


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