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).
-Kevin Sheppard's MFE Toolbox
-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:
György Inzelt (2023). ARFIMA(p,d,q) estimator (https://www.mathworks.com/matlabcentral/fileexchange/30238-arfima-p-d-q-estimator), MATLAB Central File Exchange. Retrieved .
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