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#statisticalsoftware

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Eduardo Vera-Valdes

I'm happy to announce that the accompanying manuscript 📜 to LongMemory.jl is now available in arXiv 📰
The paper describes the theoretical developments behind the (many) functions available in the package and illustrates them using the Nile River dataset also included in the package 🌊 Replication notebooks for all the figures and results in the manuscript are available at the package's and my personal website 👩‍💻
I welcome suggestions on how to improve the package and the paper. #JuliaLang #programming #timeseries #statisticalsoftware #longmemory arxiv.org/abs/2401.14077

arXiv.orgLongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in JuliaLongMemory.jl is a package for time series long memory modelling in Julia. The package provides functions to generate long memory, estimate model parameters, and forecast. Generating methods include fractional differencing, stochastic error duration, and cross-sectional aggregation. Estimators include the classic ones used to estimate the Hurst effect, those inspired by log-periodogram regression, and parametric ones. Forecasting is provided for all parametric estimators. Moreover, the package adds plotting capabilities to illustrate long memory dynamics and forecasting. This article presents the theoretical developments for long memory modelling, show examples using the data included with the package, and compares the properties of LongMemory.jl with current alternatives, including benchmarks. For some of the theoretical developments, LongMemory.jl provides the first publicly available implementation in any programming language. A notable feature of this package is that all functions are implemented in the same programming language, taking advantage of the ease of use and speed provided by Julia. Therefore, all code is accessible to the user. Multiple dispatch, a novel feature of the language, is used to speed computations and provide consistent calls to related methods. The package is related to the R packages LongMemoryTS and fracdiff.
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