Arfima

Included in the submitted file:Jan Beran's goodness of fit test for ARFIMA(p,d,q) processes, which is the spectral domain equivalent of the Ljung-Box statistics.Can be used for model validation or model selection (eg.comparing the goodness of fit of an ARFIMA(1,d,0) vs. an ARFIMA(5,0,0)...


Platforms: Matlab

he code performs the simulation of time series with autoregressive fractionally integrated moving average (ARFIMA) models that generalize ARIMA (autoregressive integrated moving average) and ARMA autoregressive moving average models. ARFIMA models allow non-integer values of the differencing...


Platforms: Matlab

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).


Platforms: Matlab