arfima

R package arfima: Fractional ARIMA (and Other Long Memory) Time Series Modeling. Simulates, fits, and predicts long-memory and anti-persistent time series, possibly mixed with ARMA, regression, transfer-function components. Exact methods (MLE, forecasting, simulation) are used. Bug reports should be done via GitHub (at <https://github.com/JQVeenstra/arfima>), where the development version of this package lives; it can be installed using devtools.

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References in zbMATH (referenced in 1 article )

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  1. Sophie Achard and Irène Gannaz: Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave (2019) not zbMATH