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]