carfima: Continuous-Time Fractionally Integrated ARMA Process for Irregularly Spaced Long-Memory Time Series Data

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) <doi:10.1111/j.1467-9868.2005.00522.x> 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.

Version: 2.0.2
Depends: R (≥ 2.2.0)
Imports: mvtnorm (≥ 1.0-11), DEoptim (≥ 2.2-5), pracma (≥ 2.2.9), truncnorm (≥ 1.0-8), invgamma (≥ 1.1)
Published: 2020-03-21
DOI: 10.32614/CRAN.package.carfima
Author: Hyungsuk Tak, Henghsiu Tsai, and Kisung You
Maintainer: Hyungsuk Tak <hyungsuk.tak at>
License: GPL-2
NeedsCompilation: no
In views: TimeSeries
CRAN checks: carfima results


Reference manual: carfima.pdf


Package source: carfima_2.0.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): carfima_2.0.2.tgz, r-oldrel (arm64): carfima_2.0.2.tgz, r-release (x86_64): carfima_2.0.2.tgz, r-oldrel (x86_64): carfima_2.0.2.tgz
Old sources: carfima archive


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