This package fits a GARMA model (refer documentation) to a univariate time series.
GARMA models are extensions of ARIMA models which allow for both fractional differencing (like “fracdiff”) but also allow thta to happen at a non-zero frequency in the spectrum.
This package will estimate that frequency.
At time of writing several estimation methods are supports as well as a number of (non-linear) optimisation routines.
However only k=1 models may be fit (ie only a single Gegenbauer factor) and also only non-seasonal integer differencing of d=0 or d=1 is supported (however you can always manually implement further differencing yourself prior to calling these routines).
Ensure you have the “devtools” package installed:
After this you can install this package by typing:
An Introduction to the “garma” packages is available here, and the reference documentation is available here here.