ARFIMA(p,d,q) estimator

Maximum likelihood estimators of stationary univariate ARFIMA(p,d,q) processes.
Updated 18 Jun 2011

View License

ARFIMA(p,d,q) maximum likelihood estimators:

- Whittle estimator
- Exact maximum likelihood estimator

-and some other,possibly useful functions,forecasting included.I've yet to implement the prediction error bands calculation (as one can judge from the screenshot).


-Statistics Toolbox
-Optimization Toolbox
-Kevin Sheppard's MFE Toolbox

Optional requirements:

-Simone Fatichi's ARFIMA(p,d,q) simulator(MATLAB Central FileExchange #25611)

The latter is required for testing the algorithms' performance (implemented in arfima_test).

NOTICE: this time, a C/MEX file is there to speed up the process,without a .m equivalent.It compiled with several compilers (LCC and MS VC++ 2008) and proved to be stable for me.

Further updates are planned:

-other estimation algorithms

Any comments,suggestions to:

Cite As

György Inzelt (2024). ARFIMA(p,d,q) estimator (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes

Added the exact maximum likelihood estimator, a covariance computing algorithm and a forecasting function.

Also, the code is more clean and easier to use.