Package: arfima 1.8-1

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.

Authors:JQ Veenstra [aut, cre], A.I. McLeod [aut]

arfima_1.8-1.tar.gz
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arfima.pdf |arfima.html✨
arfima/json (API)

# Install 'arfima' in R:
install.packages('arfima', repos = c('https://jqveenstra.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/jqveenstra/arfima/issues

Uses libs:
  • openblas– Optimized BLAS
Datasets:
  • SeriesJ - Series J, Gas Furnace Data
  • tmpyr - Temperature Data

On CRAN:

19 exports 14 stars 2.14 score 1 dependencies 1 dependents 1 mentions 78 scripts 937 downloads

Last updated 8 months agofrom:319791cc96. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 06 2024
R-4.5-win-x86_64NOTESep 06 2024
R-4.5-linux-x86_64NOTESep 06 2024
R-4.4-win-x86_64OKSep 06 2024
R-4.4-mac-x86_64OKSep 06 2024
R-4.4-mac-aarch64OKSep 06 2024
R-4.3-win-x86_64OKSep 06 2024
R-4.3-mac-x86_64OKSep 06 2024
R-4.3-mac-aarch64OKSep 06 2024

Exports:arfimaarfima.simarfima0arfimachangesARToPacfbestModesBICdistanceiARFIMAIdentInvertQlARFIMAlARFIMAwTFPacfToARremoveModesim_from_fittedtacfplottacvftacvfARFIMAweed

Dependencies:ltsa

Readme and manuals

Help Manual

Help pageTopics
Simulates, fits, and predicts persistent and anti-persistent time series. arfimaarfima-package
Information criteria for 'arfima' objectsAIC.arfima BIC BIC.arfima
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).arfima
Simulate an ARFIMA time series.arfima.sim
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.arfima0
Prints changes to the package since the last update. Started in 1.4-0arfimachanges
Converts AR/MA coefficients from operator space to the PACF spaceARToPacf
Finds the best modes of an 'arfima' fit.bestModes
Extract Model Coefficientscoef.arfima
The distance between modes of an 'arfima' fit.distance
Extract Model Fitted Valuesfitted.arfima
The Fisher information matrix of an ARFIMA processiARFIMA
Checks invertibility, stationarity, and identifiability of a given set of parametersIdentInvertQ
Exact log-likelihood of a long memory modellARFIMA
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.lARFIMAwTF
Extract Log-Likelihood ValueslogLik.arfima
Converts AR/MA coefficients from the PACF space to operator spacePacfToAR
Plots the original time series, the predictions, and the prediction intervals for a 'predarfima' object.plot.predarfima
Plots the output from a call to 'tacvf'plot.tacvf
Predicts from a fitted object.predict.arfima
Prints a Fitted Objectprint.arfima
Prints predictions and prediction intervalsprint.predarfima
Prints the output of a call to 'summary' on an 'arfima' objectprint.summary.arfima
Prints a tacvf object.print.tacvf
Removes a mode from an 'arfima' fit.removeMode
Extract the Residuals of a Fitted Objectresid.arfima residuals.arfima
Series J, Gas Furnace DataSeriesJ
Simulate an ARFIMA time series from a fitted arfima object.sim_from_fitted
Extensive Summary of an Objectsummary.arfima
Plots the theoretical autocorralation functions (tacfs) of one or more fits.tacfplot
Extracts the tacvfs of a fitted objecttacvf
The theoretical autocovariance function of a long memory process.tacvfARFIMA
Temperature Datatmpyr
Extracts the Variance-Covariance Matrixvcov.arfima
Weeds out fits from a call to arfima that are too close to each other.weed