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fracdiff

Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models

v1.5-3 · Feb 1, 2024 · GPL (>= 2)
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Description

Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989); including inference and basic methods. Some alternative algorithms to estimate "H".

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CRAN Check Status

14 OK
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r-devel-linux-x86_64-debian-clang OK
r-devel-linux-x86_64-debian-gcc OK
r-devel-linux-x86_64-fedora-clang OK
r-devel-linux-x86_64-fedora-gcc OK
r-devel-macos-arm64 OK
r-devel-windows-x86_64 OK
r-oldrel-macos-arm64 OK
r-oldrel-macos-x86_64 OK
r-oldrel-windows-x86_64 OK
r-patched-linux-x86_64 OK
r-release-linux-x86_64 OK
r-release-macos-arm64 OK
r-release-macos-x86_64 OK
r-release-windows-x86_64 OK

Check History

OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

Reverse Dependencies (23)

depends

ForecastingEnsembles tsqn

imports

LPM SpuriousMemory TSF WaveletANN WaveletArima WaveletGARCH WaveletRF WaveletSVR esemifar forecast fracARMA growthDecomp rugarch tsfeatures ufRisk

suggests

CliftLRD fable feasts liftLRD sweep timetk

Dependency Network

Dependencies Reverse dependencies ForecastingEnsembles tsqn LPM SpuriousMemory TSF WaveletANN WaveletArima WaveletGARCH WaveletRF WaveletSVR esemifar forecast fracARMA growthDecomp rugarch +8 more reverse deps fracdiff

Version History

new 1.5-3 Mar 10, 2026
updated 1.5-3 ← 1.5-2 diff Jan 31, 2024
updated 1.5-2 ← 1.5-1 diff Oct 30, 2022
updated 1.5-1 ← 1.5-0 diff Jan 23, 2020
updated 1.5-0 ← 1.4-2 diff Jan 16, 2020
updated 1.4-2 ← 1.4-1 diff Dec 1, 2012
updated 1.4-1 ← 1.4-0 diff Mar 21, 2012
updated 1.4-0 ← 1.3-2 diff Aug 8, 2011
updated 1.3-2 ← 1.3-1 diff Jun 8, 2009
updated 1.3-1 ← 1.3-0 diff Sep 7, 2006
updated 1.3-0 ← 1.2-2 diff Feb 5, 2006
updated 1.2-2 ← 1.2-1 diff Jul 19, 2005
updated 1.2-1 ← 1.1-2 diff Jul 2, 2005
updated 1.1-2 ← 1.1-1 diff Jun 21, 2005
updated 1.1-1 ← 1.1-0 diff Jan 13, 2004
updated 1.1-0 ← 1.0-9 diff Dec 29, 2003
updated 1.0-9 ← 1.0-8 diff Jul 15, 2003
updated 1.0-8 ← 1.0-7 diff Jul 2, 2002
updated 1.0-7 ← 1.0-6 diff Dec 11, 2001
updated 1.0-6 ← 1.0-5 diff May 14, 2001