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scripts default iconARFIMA(p,d,q) estimator (Scripts) Publisher's description

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)
-Statistics Toolbox
-Optimization Toolbox
-Kevin Sheppard's 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
Program Release Status: New Release
Program Install Support: Install and Uninstall

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