Description
Fractional ARIMA (and Other Long Memory) Time Series Modeling.
Description
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.
README.md
arfima
An R time series library that mixes arima models with 3 types of long-memory processes: FDWN, FGN, and PLA (power-law autocovariance.)