| Package: | arfima |
| Type: | Package |
| Version: | 1.4-0 |
| Date: | 2017-06-20 |
| License: | MIT |
A list of functions:
arfima.sim - Simulates an ARFIMA, ARIMA-FGN, or ARIMA-PLA
(three classes of mixed ARIMA hyperbolic decay processes) process, with
possible seasonal components.
arfima - Fits an ARIMA-HD (default single-start) model to a series,
with options for regression with ARIMA-HD errors and dynamic regression
(transfer functions). Allows for fixed parameters as well as choices for
the optimizer to be used.
arfima0 - Simplified version of arfima
weed - Weeds out modes too close to each other in the same
fit. The modes with the highest log-likelihoods are kept
print.arfima - Prints the relevant output of an arfima
fitted object, such as parameter estimates, standard errors, etc.
summary.arfima - A much more detailed version of
print.arfima
coef.arfima - Extracts the coefficients from a arfima
object
vcov.arfima - Theoretical and observed covariance matrices of
the coefficients
residuals.arfima - Extracts the residuals or regression
residuals from a arfima object
fitted.arfima - Extracts the fitted values from a
arfima object
tacvfARFIMA - Computes the theoretical autocovariance function
of a supplied model. The model is checked for stationarity and
invertibility.
iARFIMA - Computes the Fisher information matrix of all
non-FGN components of the given model. Can be computed (almost) exactly or
through a psi-weights approximation. The approximation takes more time.
IdentInvertQ - Checks whether the model is identifiable,
stationary, and invertible. Identifiability is checked through the
information matrix of all non-FGN components, as well as whether both types
of fractional noise are present, both seasonally and non-seasonally.
lARFIMA and lARFIMAwTF - Computes the
log-likelihood of a given model with a given series. The second admits
transfer function data.
predict.arfima - Predicts from an arfima object.
Capable of exact minimum mean squared error predictions even with integer d
> 0 and/or integer dseas > 0. Does not include transfer function/leading
indicators as of yet. Returns a predarfima object, which is composed
of: predictions, and standard errors (exact and, if possible, limiting).
print.predarfima - Prints the relevant output from a
predarfima object: the predictions and their standard deviations.
plot.predarfima - Plots a predarfima object. This
includes the original time series, the forecasts and as default the
standard 95% prediction intervals (exact and, if available, limiting).
logLik.arfima, AIC.arfima,
BIC.arfima - Extracts the requested values from an
arfima object
distance - Calculates the distances between the modes
removeMode - Removes a mode from a fit
tacvf - Calculates the theoretical autocovariance functions
(tacvfs) from a fitted arfima object
plot.tacvf - Plots the tacvfs
print.tacvf - Prints the tacvfs
tacfplot - Plots the theoretical autocorrelation functions
(tacfs) of different models on the same data
SeriesJ, tmpyr - Two datasets included with the
package