Long Memory Time Series

Long Memory Time Series is a collection of functions for estimation, simulation and testing of long memory processes, spurious long memory processes and fractionally cointegrated systems.


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Reference manual

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install.packages("LongMemoryTS")

0.1.0 by Christian Leschinski, 5 months ago


Browse source code at https://github.com/cran/LongMemoryTS


Authors: Christian Leschinski [aut, cre] , Michelle Voges [ctb] , Kai Wenger [ctb]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-2 license


Imports Rcpp, stats, longmemo, partitions, fracdiff, mvtnorm

Linking to Rcpp, RcppArmadillo


See at CRAN