ARFIMA(p,d,q) estimator
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
Citation pour cette source
György Inzelt (2024). ARFIMA(p,d,q) estimator (https://www.mathworks.com/matlabcentral/fileexchange/30238-arfima-p-d-q-estimator), MATLAB Central File Exchange. Récupéré le .
Compatibilité avec les versions de MATLAB
Plateformes compatibles
Windows macOS LinuxCatégories
- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions > Continuous Distributions > t Location-Scale Distribution >
Tags
Remerciements
Inspiré par : MexWizard, howto: mex + MS Visual C/C++ Express Edition 2005, C++ MEX symbolic debugging, ARFIMA simulations
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Version | Publié le | Notes de version | |
---|---|---|---|
1.1.0.0 | Added the exact maximum likelihood estimator, a covariance computing algorithm and a forecasting function. Also, the code is more clean and easier to use. |
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1.0.0.0 |