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) . Beran, J. (1995) .


Reference manual

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install.packages("nsarfima") by Benjamin Groebe, 9 months ago

Browse source code at

Authors: Benjamin Groebe [aut, cre]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 3) license

See at CRAN