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:
computes the autocovariance function for a fractionally integrated ARMA model.
estimates the parameters for a fractionally integrated ARMA model.
computes the log-likelihood function for a fractionally integrated ARMA model.
generates a fractionally integrated ARMA process.
computes a fractionally differenced process.