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ARFIMA simulations 1.0

  Date Added: August 19, 2013  |  Visits: 215

ARFIMA simulations

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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 parameter and are useful in modeling time series with long memory. The code generally simulates an ARFIMA(p,d,q) model where d is the differencing parameter and p and q are the order of the autoregressive and moving average parts of the model respectively.

Requirements: No special requirements
Platforms: Matlab
Keyword: Arfimapdq Average Differencing Generally Memory Modeling Moving Parameter Parts Simulates
Users rating: 0/10

License: Shareware Size: 10 KB
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