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ARFIMA simulations

version 1.0.0.0 (2.64 KB) by Simone Fatichi
Time series simulation with ARFIMA models.

5K Downloads

Updated 19 Oct 2009

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The 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.

Cite As

Simone Fatichi (2021). ARFIMA simulations (https://www.mathworks.com/matlabcentral/fileexchange/25611-arfima-simulations), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: ARFIMA(p,d,q) estimator

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