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View Code? Open in Web Editor NEWR package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models
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diffseries(x,d) incorrectly calculates the fractional derivative for d = 0.5
diffseries(x,d) incorrectly calculates the fractional derivative for d = 0.5 (and probably for all d). This is probably due to the use of circular convolution with FFT. A simple example below shows this problem
Compare to analytical solution
n=20
x=1:n
ts.plot(2*sqrt(x/pi),ylim=c(-10,5)) # analytical solution
lines(fracdiff::diffseries(x,0.5),col="blue") # test fractional derivative #approximation
Using compare to use of filter
k=1:(n-1)
wts = c(1,cumprod ((k-0.5-1)/k))
padx=c(rep(0,n),x)
frac = stats::filter(padx,wts,sides=1);
frac_circ = stats::convolve(x,wts,FALSE,type="circular");
points(frac[-(1:n)])
points(frac_circ,col="blue")
Fractional diff to make series stationary
I am reading De Prados book on Ml in finance. There is a section on applying fracdiff on fin time series to make it stationary. Here is one implementation in python https://github.com/philipperemy/fractional-differentiation-time-series
I would like to know would I get the same result if I use frac diff witn no ar and ma terms?
Error while installing fracdiff with R
Error while installing fracdiff with R
Installing fracdiff [1.5-2] ...
FAILED
Error installing package 'fracdiff':
====================================
* installing *source* package ‘fracdiff’ ...
** package ‘fracdiff’ successfully unpacked and MD5 sums checked
** using staged installation
** libs
gcc -I"/usr/share/R/include" -DNDEBUG -fpic -g -O2 -fdebug-prefix-map=/build/r-base-BNt0N4/r-base-4.2.2=. -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -c fdcore.c -o fdcore.o
gcc -I"/usr/share/R/include" -DNDEBUG -fpic -g -O2 -fdebug-prefix-map=/build/r-base-BNt0N4/r-base-4.2.2=. -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -c fdgam.c -o fdgam.o
gcc -I"/usr/share/R/include" -DNDEBUG -fpic -g -O2 -fdebug-prefix-map=/build/r-base-BNt0N4/r-base-4.2.2=. -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -c fdhess.c -o fdhess.o
gcc -I"/usr/share/R/include" -DNDEBUG -fpic -g -O2 -fdebug-prefix-map=/build/r-base-BNt0N4/r-base-4.2.2=. -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -c fdmin.c -o fdmin.o
gcc -I"/usr/share/R/include" -DNDEBUG -fpic -g -O2 -fdebug-prefix-map=/build/r-base-BNt0N4/r-base-4.2.2=. -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -c fdsim.c -o fdsim.o
gcc -I"/usr/share/R/include" -DNDEBUG -fpic -g -O2 -fdebug-prefix-map=/build/r-base-BNt0N4/r-base-4.2.2=. -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -c init.c -o init.o
gcc -I"/usr/share/R/include" -DNDEBUG -fpic -g -O2 -fdebug-prefix-map=/build/r-base-BNt0N4/r-base-4.2.2=. -fstack-protector-strong -Wformat -Werror=format-security -Wdate-time -D_FORTIFY_SOURCE=2 -c pmult.c -o pmult.o
gcc -shared -L/usr/lib/R/lib -Wl,-Bsymbolic-functions -Wl,-z,relro -o fracdiff.so fdcore.o fdgam.o fdhess.o fdmin.o fdsim.o init.o pmult.o -lblas -lgfortran -lm -lquadmath -L/usr/lib/R/lib -lR
/usr/bin/ld: cannot find -lgfortran
collect2: error: ld returned 1 exit status
make: *** [/usr/share/R/share/make/shlib.mk:10: fracdiff.so] Error 1
ERROR: compilation failed for package ‘fracdiff’
* removing ‘/home/kon*****/****/***/****/renv/staging/1/fracdiff’
Error: install of package 'fracdiff' failed [error code 1]
R version
- R version 4.2.2 (2022-10-31)
System info
Inspiron-5502 5.15.0-52-generic #58~20.04.1-Ubuntu SMP Thu Oct 13 13:09:46 UTC 2022 x86_64 x86_64 x86_64 GNU/Linu
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