fracARMA {fracARMA}R Documentation

Fractionally Integrated ARMA Model

Description

This function applies fractional differencing and fits an ARMA model to time series data.

Usage

fracARMA(ts, p, d, q, s)

Arguments

ts

A time series object (class 'ts').

p

The AR order.

d

The degree of fractional differencing.

q

The MA order.

s

The proportion of the data to be used for training.

Value

A list containing the model summary, fitted values, and forecasted results.

References

The 'forecast' and 'fracdiff' packages are used for model fitting and fractional differencing.

Examples

  ts_data <- ts(rnorm(100))
  result <- fracARMA(ts_data, p = 1, d = 0.3, q = 1, s = 0.8)

[Package fracARMA version 0.1.0 Index]