Hi,
I have some quesions about about ARIMA and FARIMA:
1) Is there a funtion in a third party package to fit ARIMA model?
2)While using fracdiff function to fit FARIMA model, can I use AIC, BIC rule
to select the best fit model. For example, to select the best model between
nar=0 and nar=1 which used in fracdiff.
3)While using fracdiff to fit FARIMA model, how to forcast furture values of a
FARIMA series? Could anyone give me an example?
4)Is there a function to get the Hurst parameter of a time series?
Your help is very much appreciated!
Sara
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