R package fracdiff: 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).
Keywords for this software
References in zbMATH (referenced in 2 articles )
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- Rabyk, Liubov; Schmid, Wolfgang: EWMA control charts for detecting changes in the mean of a long-memory process (2016)
- Kulik, Rafał; Wichelhaus, Cornelia: Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors (2011)