Description
Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality.
Description
Datasets and Functionality from 'Jan Beran' (1994). Statistics for Long-Memory Processes; Chapman & Hall. Estimation of Hurst (and more) parameters for fractional Gaussian noise, 'fARIMA' and 'FEXP' models.
README.md
The main purpose of this R package longmemo (and its predecessing S-plus scripts) has always been to provide
- primarily the data sets
- less importantly the code from chapter 12
of the book
@Book{BerJ94,
author = {Jan Beran},
title = {Statistics for Long-Memory Processes},
publisher = {Chapman \& Hall},
year = 1994,
series = {Monographs on Statistics and Applied Probability 61},
address = NY
}
Jan Beran sent the necessary files to me (by e-mail on 1995-09-15) with explicit consent to make them available electronically.
Martin Maechler <[email protected]>
Sept.1995; April, August 2002