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carfima
View on CRAN: Click
here
Download and install carfima package within the R console
Install from CRAN:
install.packages("carfima")
Install from Github:
library("remotes")
install_github("cran/carfima") Install by package version:
library("remotes")
install_version("carfima", "2.0.2") Attach the package and use:
library("carfima")
Maintained by
Hyungsuk Tak
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-10-23
Latest Update: 2020-03-21
Description:
We provide a toolbox to fit a continuous-time fractionally integrated ARMA process (CARFIMA) on univariate and irregularly spaced time series data via both frequentist and Bayesian machinery. A general-order CARFIMA(p, H, q) model for p>q is specified in Tsai and Chan (2005) and it involves p+q+2 unknown model parameters, i.e., p AR parameters, q MA parameters, Hurst parameter H, and process uncertainty (standard deviation) sigma. Also, the model can account for heteroscedastic measurement errors, if the information about measurement error standard deviations is known. The package produces their maximum likelihood estimates and asymptotic uncertainties using a global optimizer called the differential evolution algorithm. It also produces posterior samples of the model parameters via Metropolis-Hastings within a Gibbs sampler equipped with adaptive Markov chain Monte Carlo. These fitting procedures, however, may produce numerical errors if p>2. The toolbox also contains a function to simulate discrete time series data from CARFIMA(p, H, q) process given the model parameters and observation times.
How to cite:
Hyungsuk Tak (2017). carfima: Continuous-Time Fractionally Integrated ARMA Process for Irregularly Spaced Long-Memory Time Series Data. R package version 2.0.2, https://cran.r-project.org/web/packages/carfima. Accessed 05 Jun. 2026.
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Complete documentation for carfima
Functions, R codes and Examples using
the carfima R package
Some associated functions: carfima-internal . carfima-package . carfima.loglik . carfima . carfima.sim .
Some associated R codes: carfima.R . Full carfima package functions and examples
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