search for: farima

Hello, I am trying to calculate the autocovariance matrix for any general farima(p,d,q) with p,q > 1. Could anyone give an idea how to implement in R or if there is any package for this? thank you beforehand. Jose.

Hello! I installed the fSeries package to get some farima time-series which i tried with farimaSim, but unfortunately i got always an error. I tried it this way: > farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), method="freq") Error in farimaSim(n = 1000, model = list(ar = 0.5, d = 0.3, ma = 0.1), : ... used in an incorrec...

...weak dependent, stationary and ergodic time series such a 'marginal distribution w.r. to time' converges to marginal distribution of random variable x_t , defined on basis of joint distribution for (x_1,…,x_T) ? What if the correlation is strong (say stationary and ergodic FARIMA model) ? Many thanks for your input Norton

...gs with its "lag" argument. For example: y[t] = a[0] + a[1]y[t-3] +b[1]e[t-2] + e[t] can be estimated with the following specification : arma(y, lag=list(ar=3,ma=2)). Is this possible with the "arima" function in the "stats" or in other time series packages like fArima, forecast, or FinTS? They all take a "lag" argument. I would like to have the ability to estimate models like the one above while utilizing the "xreg" argument available in the other arima functions . Thanks, Richard Saba sabaric at auburn.edu

...on't have access to the cited Haslett & Raftery (1989) paper, but could someone explain to me the little cautionary note in the help page stating that "nar and nma should not be too large (say < 10) to avoid degeneracy in the model." I see that a different implementation of the FARIMA procedure in Splus could lead to an explosive, ie. non-stationary model when it's used to fit a log volatility data set (Zivot & Wang, p.291). Zivot explains that it might be due to canceling roots in the AR and MA polynomials. Is this a caution against a similar problem. Which leads to my...

hi all, I have a simple question that does power spectral analysis related to capacity dimension, information dimension, lyapunov exponent, hurst exponent. If yes then please show me the way. I am newbie in the world of chaos. Sayonara With Smile & With Warm Regards :-) G a u r a v Y a d a v Senior Executive Officer, Economic Research & Surveillance Department, Clearing

folks, does anyone know if the SEMIFAR model has been implemented in R? i see that there's a S-FinMetrics function SEMIFAR() that does the job, but I have no access to that software. essentially, this semiparametric fractional autoregressive model introduces a deterministic trend to the FARIMA(p,d,0) model (which, as i understand it, takes care of the random trend and short and long memory). if not, are there any suggestions for how to estimate the model: phi(L) (1 - L)^d [y(t)(1 - L) - g(t/T)] = epsilon(t) for t = 1, ...., T, and where -0.5 < d < 0.5, phi(L) is the lag polyn...

Dear All; I have used fbmSim to simulate a fbm sequence, however, when I tried to estimate the Hurst effect, none of the nine procedures gave me an answer close enough to the real value, which is 0.5 (n=1000). So, would you please advice, 1. which is the best method to estimate the H among the 9 mehods, R/S, higuchi or Whittle? 2. how to choose the levels (default=50), minnpts, cutoff values or