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".


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


1.5-1 by Martin Maechler, 2 years ago

Report a bug at

Browse source code at

Authors: Martin Maechler [aut, cre] , Chris Fraley [ctb, cph] (S original; Fortran code) , Friedrich Leisch [ctb] (R port , , Valderio Reisen [ctb] (fdGPH() & fdSperio()) , Artur Lemonte [ctb] (fdGPH() & fdSperio()) , Rob Hyndman [ctb] (residuals() & fitted() ,

Documentation:   PDF Manual  

Task views: Empirical Finance, Time Series Analysis

GPL (>= 2) license

Imports stats

Suggests longmemo, forecast, urca

Imported by LPM, LongMemoryTS, TSF, WaveletANN, WaveletArima, WaveletGARCH, forecast, memochange, sutteForecastR, tsfeatures.

Depended on by tsqn.

Suggested by CliftLRD, GMZTests, feasts, liftLRD, mwaved, portes, sweep, timetk.

Enhanced by longmemo.

See at CRAN