Name of QuantLet: SFEarfima

Published in: Statistics of Financial Markets

Description: Produces plots of the fractional integrated ARMA - ARFIMA(p,d,q) models.

Keywords: arfima, arma, autoregressive, moving-average,  linear, discrete, time-series, process, stochastic-process, stochastic, simulation, graphical representation, plot

Author: Piotr Majer, Marius Sterling

Submitted: Tue, July 05 2011 by Maria Osipenko

Example: Plots of ARFIMA(AR,MA,d) (top) and ARFIMA(AR,MA,-d) (bottom) models.

Code warning: 
- 1: 'In fracdiff.sim(N, AR, MA, d1) :'
- 2: 'ar-part of fracdiff model is not stationary!!'