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README
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README
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fracdiff Maximum likelihood estimation of the parameters of a fractionally
differenced ARIMA (p,d,q) model. For long-memory dependence in
time series. (Haslett and Raftery, Applied Statistics 38, 1989, 1-50).
See the help files for details.
The original S/S-plus package by Chris Fraley, Department of Statistics,
University of Washington, has been converted for usage with R;
see README.orig, also for copyright.
I've converted all single precision floats to double precision (both
in the R file and the Fortran sources), as R didn't support single
precision (in 1999).
Fritz Leisch, TU Wien, Austria
------------
The package was _orphaned_ in Summer 2003, and after asking Fritz and Chris
Fraley, I have become the new maintainer in December 2003.
I've managed to locate and eradicate the bug leading to wrong hessian,
covariance and correlation matrix estimates.
Martin Maechler, ETH Zurich, Switzerland
------
See the files ./TODO and ./Done and ./ChangeLog on TODOs and ideas
See the file ./Calling (and then src/ftn-struc) about code organization
~~~~~~~~~