ARFIMA(p,d,q) estimator (Scripts) Publisher's description
from GyГ¶rgy Inzelt
Exact maximum likelihood 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).
System Requirements:MATLAB 7.6 (R2008a)
-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
Program Release Status: New Release
Program Install Support: Install and Uninstall