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fracdiff  

Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
View on CRAN: Click here


Download and install fracdiff package within the R console
Install from CRAN:
install.packages("fracdiff")

Install from Github:
library("remotes")
install_github("cran/fracdiff")

Install by package version:
library("remotes")
install_version("fracdiff", "1.5-4")



Attach the package and use:
library("fracdiff")
Maintained by
Martin Maechler
[Scholar Profile | Author Map]
All associated links for this package
First Published: 1999-05-19
Latest Update: 2024-02-01
Description:
Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989); including inference and basic methods. Some alternative algorithms to estimate "H".
How to cite:
Martin Maechler (1999). fracdiff: Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models. R package version 1.5-4, https://cran.r-project.org/web/packages/fracdiff. Accessed 27 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:39), 1.0-5 (1999-05-19 17:11), 1.0-6 (2001-05-15 11:53), 1.0-7 (2001-12-12 14:40), 1.0-8 (2002-07-03 09:25), 1.0-9 (2003-07-16 10:16), 1.1-0 (2003-12-30 09:50), 1.1-1 (2004-01-14 08:11), 1.1-2 (2005-06-22 10:09), 1.2-1 (2005-07-03 17:28), 1.2-2 (2005-07-20 11:08), 1.3-0 (2006-02-06 23:39), 1.3-1 (2006-09-08 11:52), 1.3-2 (2009-06-09 12:02), 1.4-0 (2011-08-09 10:42), 1.4-1 (2012-03-22 09:33), 1.4-2 (2012-12-02 08:08), 1.5-0 (2020-01-17 06:25), 1.5-1 (2020-01-24 18:30), 1.5-2 (2022-10-31 20:50), 1.5-3 (2024-02-01 11:00)
Other packages that cited fracdiff R package
View fracdiff citation profile
Other R packages that fracdiff depends, imports, suggests or enhances
Complete documentation for fracdiff
Functions, R codes and Examples using the fracdiff R package
Some associated functions: confint.fracdiff . diffseries . fd-methods . fdGPH . fdSperio . fracdiff . fracdiff.sim . fracdiff.var . 
Some associated R codes: diffseries.R . fd-methods.R . fdGPH.R . fdSperio.R . fracdiff.R .  Full fracdiff package functions and examples
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