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).

Version: 1.4-2
Suggests: longmemo, urca
Published: 2012-12-02
Author: S original by Chris Fraley, U.Washington, Seattle. R port by Fritz Leisch at TU Wien; since 2003-12: Martin Maechler; fdGPH(), fdSperio(), etc by Valderio Reisen and Artur Lemonte.
Maintainer: Martin Maechler <maechler at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README ChangeLog
In views: Finance, TimeSeries
CRAN checks: fracdiff results


Reference manual: fracdiff.pdf
Package source: fracdiff_1.4-2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: fracdiff_1.4-2.tgz, r-oldrel: fracdiff_1.4-2.tgz
Old sources: fracdiff archive

Reverse dependencies:

Reverse depends: tsqn, WaveLetLongMemory
Reverse imports: ArfimaMLM, forecast, LongMemoryTS, LPM, mafs, sutteForecastR, TSF, tsfeatures, WaveletANN, WaveletArima
Reverse suggests: CliftLRD, liftLRD, mwaved, portes, sweep, timetk
Reverse enhances: longmemo


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