Fractionally Integrated Time Series Analysis

Overview

This chapter describes SAS/IML subroutines related to fractionally integrated time series analysis.

The following subroutines are supported:

FARMACOV: computes the auto-covariance 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