Long memory time series software

[raf...@dome.stat.washington.edu]

New software for fast approximate maximum likelihood estimation of
fractionally-differenced ARIMA (p,d,q) models (Haslett and Raftery 1989)
is now available from StatLib. This is a model which has proved successful
for modeling long-memory dependence in time series, particularly in
meteorological and similar applications. The software was written
by Chris Fraley (fra...@stat.washington.edu) and Adrian Raftery.

The all-Fortran version is available by sending a message to
sta...@stat.cmu.edu of the form "send fracdiff from general".

The S-driven version is available by sending a message of the form
"send fracdiff from S".

There is also a new dataset on StatLib that gives the daily average wind
speeds from 1961 to 1978 at twelve synoptic meteorological stations in
Ireland (Haslett and Raftery 1989). It can be obtained from statlib by
a message of the form "send wind.data from datasets". Caution : it's
pretty large! For a description only send a message of the form
"send wind.desc from datasets".

Reference:
---------

Haslett, J. and Raftery, A.E. (1989). Space-time Modelling with
Long-memory Dependence: Assessing Ireland's Wind Power Resource
(with Discussion). Journal of the Royal Statistical Society,
series C---Applied Statistics, 38, 1-50.