| Name : R-carfima
| |
| Version : 2.0.2
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.4.7
| Date : 2024-06-14 11:18:29
|
| Group : Development/Libraries/Other
| Source RPM : R-carfima-2.0.2-lp153.4.7.src.rpm
|
| Size : 0.07 MB
| |
| Packager : (none)
| |
| Summary : Continuous-Time Fractionally Integrated ARMA Process for Irregularly Spaced Long-Memory Time Series Data
|
Description :
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
