R-alpha: ANNOUNCE: formatC, fracdiff

Friedrich Leisch (Friedrich.Leisch@ci.tuwien.ac.at)
Wed, 22 Jan 1997 15:23:11 +0100

Date: Wed, 22 Jan 1997 15:23:11 +0100
Message-Id: <199701221423.PAA08462@galadriel.ci.tuwien.ac.at>
From: Friedrich Leisch <Friedrich.Leisch@ci.tuwien.ac.at>
To: r-testers@stat.math.ethz.ch
Subject: R-alpha: ANNOUNCE: formatC, fracdiff

I have converted the S packages formatC and fracdiff to R:

formatC	 Numeric to string conversion with flexibility of C's printf

fracdiff Maximum likelihood estimation of the parameters of a fractionally
         differenced ARIMA (p,d,q) model. For long-memory dependence in 
         time series. (Haslett and Raftery, Applied Statistics 38, 1989, 1-50).

	fracdiff        ML-estimation for ARIMA (p,d,q) models
	fracdiff.var    Recompute covariance estimate for fracdiff
	fracdiff.sim    Simulation of ARIMA (p,d,q) models

The fracdiff code seems to work fine for parameter estimation and
series simulation, but I have not figured out how to use the
covariance estimation. I always get covariance matrices with entries
around 10^{+-20} or so. If you have used the original version under S,
could you send me a working example?

Both packages are available at the URL



                         Friedrich  Leisch                             
 Institut für Statistik                      Tel: (+43 1) 58801 4541
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