ARFIMA(p,d,q) estimator

Maximum likelihood estimators of stationary univariate ARFIMA(p,d,q) processes.
Aktualisiert 18 Jun 2011

Lizenz anzeigen

ARFIMA(p,d,q) maximum likelihood estimators:

- Whittle estimator
- Exact maximum likelihood estimator

-and some other,possibly useful functions,forecasting included.I've yet to implement the prediction error bands calculation (as one can judge from the screenshot).


-Statistics Toolbox
-Optimization Toolbox
-Kevin Sheppard's MFE Toolbox

Optional requirements:

-Simone Fatichi's ARFIMA(p,d,q) simulator(MATLAB Central FileExchange #25611)

The latter is required for testing the algorithms' performance (implemented in arfima_test).

NOTICE: this time, a C/MEX file is there to speed up the process,without a .m equivalent.It compiled with several compilers (LCC and MS VC++ 2008) and proved to be stable for me.

Further updates are planned:

-other estimation algorithms

Any comments,suggestions to:

Zitieren als

György Inzelt (2024). ARFIMA(p,d,q) estimator (, MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2008a
Kompatibel mit allen Versionen
Windows macOS Linux

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Version Veröffentlicht Versionshinweise

Added the exact maximum likelihood estimator, a covariance computing algorithm and a forecasting function.

Also, the code is more clean and easier to use.