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fracdiff Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA (p,d,q) model. For long-memory dependence in time series. (Haslett and Raftery, Applied Statistics 38, 1989, 1-50). See the help files for details. The original S/S-plus package by Chris Fraley, Department of Statistics, University of Washington, has been converted for usage with R; see README.orig, also for copyright. I've converted all single precision floats to double precision (both in the R file and the Fortran sources), as R didn't support single precision (in 1999). Fritz Leisch, TU Wien, Austria ------------ The package was _orphaned_ in Summer 2003, and after asking Fritz and Chris Fraley, I have become the new maintainer in December 2003. I've managed to locate and eradicate the bug leading to wrong hessian, covariance and correlation matrix estimates. Martin Maechler, ETH Zurich, Switzerland ------ See the files ./TODO and ./Done and ./ChangeLog on TODOs and ideas See the file ./Calling (and then src/ftn-struc) about code organization ~~~~~~~~~
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R package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models
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