| Time Series Analysis and Examples |
Fractionally Integrated Time Series Analysis
This section describes subroutines related to fractionally integrated time series analysis. The phenomenon of long memory can be observed in hydrology, finance, economics, and so on. Unlike with a stationary process, the correlations between observations of a long memory series are slowly decaying to zero.
The following subroutines are supported:
- FARMACOV
- computes the autocovariance function for a fractionally integrated ARMA model.
- FARMAFIT
- estimates the parameters for a fractionally integrated ARMA model.
- FARMALIK
- computes the log-likelihood function for a fractionally integrated ARMA model.
- FARMASIM
- generates a fractionally integrated ARMA process.
- FDIF
- computes a fractionally differenced process.
Getting Started
Syntax
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