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fracARMA
View on CRAN: Click
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Download and install fracARMA package within the R console
Install from CRAN:
install.packages("fracARMA")
Install from Github:
library("remotes")
install_github("cran/fracARMA")
Install by package version:
library("remotes")
install_version("fracARMA", "0.1.0")
Attach the package and use:
library("fracARMA")
Maintained by
Muhammed Irshad M
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First Published: 2025-02-13
Latest Update: 2025-02-13
Description:
Implements fractional differencing with Autoregressive Moving Average models to analyse long-memory time series data. Traditional ARIMA models typically use integer values for differencing, which are suitable for time series with short memory or anti-persistent behaviour. In contrast, the Fractional ARIMA model allows fractional differencing, enabling it to effectively capture long memory characteristics in time series data. The ‘fracARMA’ package is user-friendly and allows users to manually input the fractional differencing parameter, which can be obtained using various estimators such as the GPH estimator, Sperio method, or Wavelet method and many. Additionally, the package enables users to directly feed the time series data, AR order, MA order, fractional differencing parameter, and the proportion of training data as a split ratio, all in a single command. The package is based on the reference from the paper of Irshad and others (2024, <doi:10.22271/maths.2024.v9.i6b.1906>).
How to cite:
Muhammed Irshad M (2025). fracARMA: Fractionally Integrated ARMA Model. R package version 0.1.0, https://cran.r-project.org/web/packages/fracARMA. Accessed 24 Mar. 2025.
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