S-PLUS,R | 片山研究室

Modeling the SARFIMA Model

関連する論文

Seasonally and Fractionally Differenced Time Series, Hitotsubashi Journal of Economics, Vol. 48, No.1, pp.25-55, 2007.
SARFIMA モデルはフラクショナルARIMA（ARFIMA）モデルや季節ARIMA(SARIMA)モデルを含みます．

sarfimacss: conducts CSS estimation of the SARFIMA(p,d0,q)(ps,ds,qs)s model
sarfimad0dstest: testing for the integration order, d0 and ds
sarfimacssms: selects best models in terms of AIC and BIC
sarfimacssforecast: forecasts a time series using the SARFIMA Model
sarfimacssdiag: computes diagnostics for the SARFIMA Model
data: Japanese electric demand, FEPC

Multiple Portmanteau Tests

関連する論文

On Multiple Portmanteau Tests, Discussion Paper Series, 2008-4, Faculty of Economics, Kyushu University, 2008.

jcdfport: calculates approximate significance levels of the multiple portmanteau tests
multipleintegration: returns value of joint distribution function of two (or three) sums of chi-squared random variables by the multiple numerical integrations