similar to: confused about range of 'd' in fracdiff package

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 = length(ts.test$ma)) When I run this, I get the following error: R

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" coefficient can be brought customly close to zero by decreasing the

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 fracdiff package manual with no success to find any help with the

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 them out. Any suggestion would be much appreciated Thanks Susana Barbosa

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

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

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

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

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,

>>>>> akshay kulkarni >>>>> on Wed, 31 May 2023 20:55:33 +0000 writes: > dear members, > I am using arfima() from forecast package to model a time > series. 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,

Dear Martin, Sad that the bug is beyond your ken... Fortunately, the error happens only rarely...The length of LYGH was 719 and there were only two such errors..I will just replace them with NA and make do. By the by, what if I send LYGH as an attachment to your actual mail ( not the r-help mail)? Will it help? Can you then pinpoint the cause? Or should I raise a bug

I am using the 0.50 alpha version of R packaged (in 3 parts) by Kurt for Debian Linux. Package: r-base Status: install ok installed Priority: optional Section: local Maintainer: Kurt Hornik <Kurt.Hornik at ci.tuwien.ac.at> Version: 0.50b7-1 Depends: libc5, xlib6, libreadline2 Description: R, a language not entirely unlike the language S. Package: r-contrib Status: install ok

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

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

I've put all ``current'' add-on packages into CRAN's source/contrib tree and created an INDEX file (attached below). As you can see, currently we have acepack bootstrap ctest date e1071 fracdiff gee jpn snns splines survival4 (Yes, e1071 and jpn are new ... more on the latter in a later mail.) In the near future, I am hoping for the following: oz (Bill

Sorry to bring up this old topic again but ... The 2.0 release of Debian Linux is about to happen and the release team requires copyright statements on any code included in the release. Presently there are 4 packages that I have created from R source code and libraries and contributed to the release. I think this will help with the visibility of R when there is a well-regarded release of an

dear members, I am using arfima() from forecast package to model a time series. 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:

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 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

Dear lists: I could not calculate what is wrong with my installing. Could you help me to find the solution? Thanks. Following are the installing screen massages: install.packages("demography") 将程序包安装入‘/home/zzk/R/i686-pc-linux-gnu-library/2.12’ (因为‘lib’没有被指定) --- 在此連線階段时请选用CRAN的鏡子 --- 载入Tcl/Tk接口... 完成 also installing the dependencies ‘akima’, ‘rgl’, ‘misc3d’, ‘quadprog’, ‘zoo’, ‘locfit’,