Fractional ARIMA (and Other Long Memory) Time Series Modeling


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Documentation for package ‘arfima’ version 1.7-0

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arfima-package Simulates, fits, and predicts persistent and anti-persistent time series. arfima
AIC.arfima Information criteria for 'arfima' objects
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.sim Simulate an ARFIMA time series.
arfima0 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.
arfimachanges Prints changes to the package since the last update. Started in 1.4-0
ARToPacf Converts AR/MA coefficients from operator space to the PACF space
bestModes Finds the best modes of an 'arfima' fit.
BIC Information criteria for 'arfima' objects
BIC.arfima Information criteria for 'arfima' objects
coef.arfima Extract Model Coefficients
distance The distance between modes of an 'arfima' fit.
fitted.arfima Extract Model Fitted Values
iARFIMA The Fisher information matrix of an ARFIMA process
IdentInvertQ Checks invertibility, stationarity, and identifiability of a given set of parameters
lARFIMA Exact log-likelihood of a long memory model
lARFIMAwTF 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.
logLik.arfima Extract Log-Likelihood Values
PacfToAR Converts AR/MA coefficients from the PACF space to operator space
plot.predarfima Plots the original time series, the predictions, and the prediction intervals for a 'predarfima' object.
plot.tacvf Plots the output from a call to 'tacvf'
predict.arfima Predicts from a fitted object.
print.arfima Prints a Fitted Object
print.predarfima Prints predictions and prediction intervals
print.summary.arfima Prints the output of a call to 'summary' on an 'arfima' object
print.tacvf Prints a tacvf object.
removeMode Removes a mode from an 'arfima' fit.
resid.arfima Extract the Residuals of a Fitted Object
residuals.arfima Extract the Residuals of a Fitted Object
SeriesJ Series J, Gas Furnace Data
sim_from_fitted Simulate an ARFIMA time series from a fitted arfima object.
summary.arfima Extensive Summary of an Object
tacfplot Plots the theoretical autocorralation functions (tacfs) of one or more fits.
tacvf Extracts the tacvfs of a fitted object
tacvfARFIMA The theoretical autocovariance function of a long memory process.
tmpyr Temperature Data
vcov.arfima Extracts the Variance-Covariance Matrix
weed Weeds out fits from a call to arfima that are too close to each other.