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ARFIMA(p,d,q) estimator

version 1.1.0.0 (12.3 KB) by György Inzelt
Maximum likelihood estimators of stationary univariate ARFIMA(p,d,q) processes.

4K Downloads

Updated 18 Jun 2011

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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).

Requirements:

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

http://www.kevinsheppard.com/wiki/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
-documentation
-etc.

Any comments,suggestions to:

inzeltgy@gmail.com

Cite As

György Inzelt (2021). ARFIMA(p,d,q) estimator (https://www.mathworks.com/matlabcentral/fileexchange/30238-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

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