arfima

Information criteria for arfima objects

Converts AR/MA coefficients from operator space to the PACF space

Checks invertibility, stationarity, and identifiability of a given set of parameters

Converts AR/MA coefficients from the PACF space to operator space

Series J, Gas Furnace Data

Fit ARFIMA, ARIMA-FGN, and ARIMA-PLA (multi-start) models Fits ARFIMA/ARIMA-FGN/ARIMA-PLA multi-start models to times series data. Options include fixing parameters, whether or not to fit fractional noise, what type of fractional noise (fractional Gaussian noise (FGN), fractionally differenced white noise (FDWN), or the newly introduced power-law autocovariance noise (PLA)), etc. This function can fit regressions with ARFIMA/ARIMA-FGN/ARIMA-PLA errors via the xreg argument, including dynamic regression (transfer functions).

Simulates, fits, and predicts persistent and anti-persistent time series. arfima

Simulate an ARFIMA time series.

Exact MLE for ARFIMA The time series is corrected for the sample mean and then exact MLE is used for the other parameters. This is a simplified version of the arfima() function that may be useful in simulations and bootstrapping.

Prints changes to the package since the last update. Started in 1.4-0

Finds the best modes of an arfima fit.

Extract Model Coefficients

The distance between modes of an arfima fit.

Extract Model Fitted Values

The Fisher information matrix of an ARFIMA process

Exact log-likelihood of a long memory model

Exact log-likelihood of a long memory model with a transfer function model and series included Computes the exact log-likelihood of a long memory model with respect to a given time series as well as a transfer fucntion model and series. This function is not meant to be used directly.

Extract Log-Likelihood Values

Plots the original time series, the predictions, and the prediction intervals for a predarfima object.

Plots the output from a call to tacvf

Predicts from a fitted object.

Prints a Fitted Object

Prints predictions and prediction intervals

Prints the output of a call to summary on an arfima object

Prints a tacvf object.

Removes a mode from an arfima fit.

Extract the Residuals of a Fitted Object

Simulate an ARFIMA time series from a fitted arfima object.

Extensive Summary of an Object

Plots the theoretical autocorralation functions (tacfs) of one or more fits.

Extracts the tacvfs of a fitted object

The theoretical autocovariance function of a long memory process.

Temperature Data

Extracts the Variance-Covariance Matrix

Weeds out fits from a call to arfima that are too close to each other.