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FGN (version 2.0-12)

Fractional Gaussian Noise and power law decay time series model fitting

Description

Exact MLE and Whittle MLE estimation for power law decay models.

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Version

Install

install.packages('FGN')

Monthly Downloads

106

Version

2.0-12

License

CC BY-NC-SA 3.0

Maintainer

Last Published

May 16th, 2014

Functions in FGN (2.0-12)

autocovariance function for the PLA model

Display estimated parameters from FitFGN

Fractional Gaussian Noise and hyperbolic decay time series model fitting

Exact MLE for ARFIMA

autocovariance function of fractionally-differenced white noise

Autocovariance of FGN

Simulate Fitted FGN Model

Generic Bootstrap Function

autocovariance function for PLS model

MLE estimation for FGN

Fit PLS Time Series Model

Fit PLA Time Series Model

Annual global temperature, 1880-1985

FitRegressionFGN

Regression with FGN Errors

Fit FGN Time Series Model

Fit FD Time Series Model

Hurst K Coefficient

Concentrated Loglikelihood Function for d

Spectral density function for FD

Forecasts from a fitted FGN model

Print Method for "FitFGN" Object

Annual flow of Nile River at Aswan, 1871-1945

Concentrated Loglikelihood Function for alpha in PLS model

Nile Annual Minima, 622 AD to 1284 AD

ARMA spectral density function

Plot Method for "FitFGN" Object

Computes Reimann zeta function on [0,3]

residuals.FitFGN

Extract Residuals from "FitFGN" Object

Concentrated Loglikelihood Function for H

Concentrated Loglikelihood Function for parameter alpha in the PLA model

Spectral density function for PLS

Spectral density function for FGN

Whittle mle arfima

Spectral density of hyperbolic decay models

Summary Method for "FitFGN" Object

Series B, close price IBM stock

Spectral density function for PLA