Fractional Gaussian Noise and power law decay time series model fitting


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Documentation for package ‘FGN’ version 2.0-12

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FGN-package Fractional Gaussian Noise and hyperbolic decay time series model fitting
acvfFD autocovariance function of fractionally-differenced white noise
acvfFGN Autocovariance of FGN
acvfPLA autocovariance function for the PLA model
acvfPLS autocovariance function for PLS model
Boot Generic Bootstrap Function
Boot.FitFGN Simulate Fitted FGN Model
coef.FitFGN Display estimated parameters from FitFGN
earfima Exact MLE for ARFIMA
FitFGN MLE estimation for FGN
FitRegressionFGN Regression with FGN Errors
GetFitFD Fit FD Time Series Model
GetFitFGN Fit FGN Time Series Model
GetFitPLA Fit PLA Time Series Model
GetFitPLS Fit PLS Time Series Model
globtp Annual global temperature, 1880-1985
HurstK Hurst K Coefficient
LLFD Concentrated Loglikelihood Function for d
LLFGN Concentrated Loglikelihood Function for H
LLPLA Concentrated Loglikelihood Function for parameter alpha in the PLA model
LLPLS Concentrated Loglikelihood Function for alpha in PLS model
NileFlowCMS Annual flow of Nile River at Aswan, 1871-1945
NileMin Nile Annual Minima, 622 AD to 1284 AD
plot.FitFGN Plot Method for "FitFGN" Object
predict.FitFGN Forecasts from a fitted FGN model
print.FitFGN Print Method for "FitFGN" Object
Reimann Computes Reimann zeta function on [0,3]
residuals.FitFGN Extract Residuals from "FitFGN" Object
sdfarma ARMA spectral density function
sdfFD Spectral density function for FD
sdfFGN Spectral density function for FGN
sdfhd Spectral density of hyperbolic decay models
sdfPLA Spectral density function for PLA
sdfPLS Spectral density function for PLS
SeriesB Series B, close price IBM stock
SimulateFD Simulates FD
SimulateFGN Simulates FGN
summary.FitFGN Summary Method for "FitFGN" Object
warfima Whittle mle arfima