Other packages > Find by keyword >

carfima  

Continuous-Time Fractionally Integrated ARMA Process for Irregularly Spaced Long-Memory Time Series Data
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]
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 09 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:24), 1.0.0 (2017-10-23 11:05), 2.0.0 (2018-11-01 22:50), 2.0.1 (2019-01-23 07:00)
Other packages that cited carfima R package
View carfima citation profile
Other R packages that carfima depends, imports, suggests or enhances
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
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

TRMF  
Temporally Regularized Matrix Factorization
Functions to estimate temporally regularized matrix factorizations (TRMF) for forecasting and imputi ...
Download / Learn more Package Citations See dependency  
baffle  
Make Waffle Plots with Base Graphics
Waffle plots are rectangular pie charts that represent a quantity or abundances using colored squar ...
Download / Learn more Package Citations See dependency  
binovisualfields  
Depth-Dependent Binocular Visual Fields Simulation
Simulation and visualization depth-dependent integrated visual fields. Visual fields are measured mo ...
Download / Learn more Package Citations See dependency  
separationplot  
Separation Plots
Visual representations of model fit or predictive success in the form of "separation plots." See Gr ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
githubinstall  
A Helpful Way to Install R Packages Hosted on GitHub
Provides an helpful way to install packages hosted on GitHub. ...
Download / Learn more Package Citations See dependency  

28,989

R Packages

247,686

Dependencies

76,495

Author Associations

28,990

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA