search for: fracdiff

Full_Name: Jussi Mäkinen Version: 1.6.2 OS: Win2000 Submission from: (NULL) (193.210.145.2) I tried to download fracdiff from http://www.stat.unipg.it/stat/statlib/R/CRAN/ but I got the messages box: The procedure entry point daxpy_ could not be located in the dynamic link library R.dll and the following lines to RGui: Error in dyn.load(x, as.logical(local), as.logical(now)) : unable to load shared librar...

Hi, I'm using the function fracdiff and can not figure out how to get the estimated values for sigma2 or confidence intervals for the parameter estimates. Does anyone know how to obtain these values? Thanks, Melissa

I was sniffing in the fracdiff library (this is for fractionally integrated ARMA processes; Haslett and Raftery 1989). The documentation suggests that one tries the following simple example: library(fracdiff) ts.test <- fracdiff.sim( 5000, ar = .2, ma = -.4, d = .3) fracdiff( ts.test$series, nar = length(ts.test$ar), nma =...

jussi.makinen@valtiokonttori.fi wrote: > Full_Name: Jussi M?kinen > Version: 1.6.2 > OS: Win2000 > Submission from: (NULL) (193.210.145.2) > > > I tried to download fracdiff from http://www.stat.unipg.it/stat/statlib/R/CRAN/ > but I got the messages box: That's not a current mirror of CRAN (see the CRAN Master for recent mirrors), it's last update seems to be dated 18-Dec-2001. Thus you got an extremely outdated version of that package. Try to download a...

Hi,I have a question about the fracdiff.var function (package fracdiff) which goal is to recompute more precise confidence intervals for the parameters estimated by fracdiff (or arfima). More precisely, it deals with the standard error of the "d" coefficient : Is it normal that the standard error of the "d" coefficien...

Hi, I am using the fracdiff package to estimate the parameters of an ARFIMA(1,d,1) model. I would also like to get the residuals of the series. I have seen another post about this (below). However, being still quite at the beginner level in terms of R, I did not quite understand how this worked. I also read through the fracdi...

Hi I'm using fracdiff package to estimate the parameters of a fractionally-differenced ARIMA (p,d,q) model, and it works fine, but I wanted to have also the filtered series and the series of residuals. I understand these are calculated in the subroutine fdfilt, in the program fdcore.f, but I can't manage to get t...

Does anybody know if it is possible to forcast or predict from a fracdiff object? Any help would be much obliged... Cheers, Alan

...> [1] 45.40 3.25 6.50 2.15 >> arfima(LYGH[[202]]) > Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma, hess = hess, fdf.work = fdf$w) : > NA/NaN/Inf in foreign function call (arg 5) > I tried viewing .fdcov() with the following code: > View(environment(fracdiff)$.fdcov) > but I see no stop() with the above mentioned error message. > Can you please help? Well, as I am the maintainer of the *fracdiff* package, I'm trying. OTOH, as we will see below, you did not give us enough information to really help you... > THanking you,...

...s. The following is the code: > LYGH[[202]] [1] 45.40 3.25 6.50 2.15 > arfima(LYGH[[202]]) Error in .fdcov(x, fdf$d, h, nar = nar, nma = nma, hess = hess, fdf.work = fdf$w) : NA/NaN/Inf in foreign function call (arg 5) I tried viewing .fdcov() with the following code: View(environment(fracdiff)$.fdcov) but I see no stop() with the above mentioned error message. Can you please help? THanking you, Yours sincerely, AKSHAY M KULKARNI [[alternative HTML version deleted]]

...dtext_0.1.5 ggtext_0.1.2 lmtest_0.9-40 grid_4.1.2 > [26] nnet_7.3-16 tidyselect_1.2.0 glue_1.6.2 R6_2.5.1 fansi_1.0.4 > [31] ggplot2_3.4.2 TTR_0.24.3 magrittr_2.0.3 scales_1.2.1 quantmod_0.4.20 > [36] timeDate_4021.106 colorspace_2.1-0 fracdiff_1.5-1 quadprog_1.5-8 utf8_1.2.3 > [41] stinepack_1.4 munsell_0.5.0 zoo_1.8-10 > PLease Also note: > arfima(c(45.4, 3.25, 6.5, 2.14999999999998)) > Call: > arfima(y = c(45.4, 3.25, 6.5, 2.14999999999998)) > Coefficients: > d > 4.583013e-05 >...

Dear all, I want to assess the question whether several time series of parties' respective popularities are fractionally integrated. The "fracdiff" package seems to be an obvious choice. What confuses me is that the 'd' parameter estimated by fracfiff seems to be bound to a range from 0 to 0.5. From what I have read I would assume it should be allowed to vary between 0 and 1. Any help would be very much appreciated. Kai -.-.-.-...

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 incorrect context Some ideas? Regards, ___

Dear folk, I am stempting to estimate a vector error correction model using a seemingly fractionally integrated multivariate time series. The *fracdiff *package provides tools to estimate degree of fractional integration. But *fracdiff *can't help me to: 1. test equality of two degrees of fractional integration, say d1=d2? 2. estimate a multivariate cointegrating error correction model, like* ca.jo *function in* urca* does for standard coi...

I'd like to play with ARIMA models of stock prices, but I am a complete novice. Could some kind soul explain the relationship among packages "ts", "tseries", "dse", "dse2", and "fracdiff"? Are they 'competing' products or does one depend on another? Where would be the best place for a novice to begin? Thanks for any advice. PS. I have Venables & Ripley's MASS (3rd ed), and the "R Complements" paper, to work from. -- -...

Dear R People: Where is the command for long memory time series, please? In S, it's arima.fracdiff Is there something like that in R? If so, which library has it, please? Version 1.5.1 for Windows Happy new year Thanks so much! Sincerely, Erin Hodgess mailto: hodgess at uhddx01.dt.uh.edu

Dear list and Martin, I'm testing different approaches to fit an electricity demand time series and come upon the fracdiff package (v 1.3-1) for fitting fractional ARIMA models. The following questions are motivated by this package. 1. Despite having a help page, the residuals and fitted functions don't seem to have implementation, or did i miss something obvious? Alternatively, having a fitted fracdiff object, ho...

Dear R-Users, I am doing a research on Time Series, especially on the estimation of the fractional exponent in long memory time series (for those who know). However there are three estimators already built-in the fracdiff package (GPH, Sperio, MLE) I was wondering if there is someone who had used an estimation introduced by P.M. Robinson (related paper: "Log-Periodogram regression of time series with long range dependence", 1995, The Annals of Statistics, Vol. 23, p. 1048 - 1072) The estimator is similar t...

======================================================================= Simple CRAN packages which do not compile without modifications (all others do) ======================================================================= -- akima /usr/bin/ld: multiple definitions of symbol _idlc_ -- fracdiff /usr/bin/ld: multiple definitions of symbol _gammfd_ (and others) -- odesolve -- princurve lamix: Error on line 116: Declaration error for v: adjustable dimension on non-argument -- splancs /usr/bin/ld: multiple definitions of symbol _bounds_ -- wle mleaic: Error on li...

...TAk RArcInfo RMySQL RODBC RPgSQL RandomFields RmSQL Rstreams Rwave SASmixed SuppDists VR XML acepack adapt akima ash bindata blighty boot bootstrap bqtl car cclust cfa chron cluster cmprsk coda conf.design cramer date diamonds dse e1071 ellipse event.chart exactRankTests fastICA fdim fields foreign fracdiff gafit gee geoR gld gregmisc gss ineq leaps lgtdl lmtest locfit logspline lokern lpridge maptree maxstat mclust mda meanscore mgcv mlbench muhaz multiv mvnmle mvtnorm netCDF nlme nlrq norm odesolve oz panel pcurve permax pinktoe pixmap polymars polynom princurve pspline quadprog quantreg rmeta rpart...