ARTFIMA Model Estimation

Fit and simulate ARTFIMA. Theoretical autocovariance function and spectral density function for stationary ARTFIMA.


News

CHANGES IN 'artfima' VERSION 1.1 (2015-11-7) o can hold d parameter fixed in ARTFIMA model CHANGES IN 'artfima' VERSION 1.2 (2015-01-21) o "Whittle" is default estimation algorithm o se's for estimates computed with Whittle method o new functions: informationMatrixARTFIMA(), seARTFIMA() o added dataset SB32 o bugs fixed with sdfarfima() o can choose optimization to be used with optim() method o documentation fix for sdfartfima() o simulation investigation report included CHANGES IN 'artfima' VERSION 1.3 (2016-05-13) o many code improvements to artfima() o retitled and improved function artfimaSDF() o plot() method added for class "artfima", plot.artfima() o bestModels() exhaustive enumerative search best AIC/BIC model within the entire range of models (ARTFIMA, ARFIMA, ARIMA) o tseg() simulates interesting example time series o Periodogram() scaling factors as in artfimaSDF() CHANGES IN 'artfima' VERSION 1.4 (2016-05-15) o minor bug fixes o optional arguments added to plot.artfima() o seriesa, ogden o functionality improvements to bestModels() CHANGES IN 'artfima' VERSION 1.5 (2016-06-28) o minor bug fixes o predict.artfima o bev, nilemin

Reference manual

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install.packages("artfima")

1.5 by A.I. McLeod, 3 years ago


http://www.stats.uwo.ca/faculty/aim


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


Authors: A. I. McLeod , Mark M. Meerschaert , Farzad Sabzikar


Documentation:   PDF Manual  


GPL (>= 2) license


Imports ltsa, gsl


See at CRAN