LeastFracDiff
Minimal tools for approximating the least fractional difference order that transforms a time series into a stationary one, as suggested by de Prado (2018).
Install / Use
/learn @luisdamiano/LeastFracDiffREADME
Least Fractional Differentiation Order
LeastFracDiff provides some minimal tools for finding an approximation to the least fractional difference order that transforms a time series into an stationary series, as suggested by de Prado (2018).
Usage
devtools::install_github("luisdamiano/LeastFracDiff", build_vignettes = TRUE)
vignette("ExampleSPY", package = "LeastFracDiff")
See vignette online here.
References
de Prado, M. L. (2018). Advances in financial machine learning. John Wiley & Sons.
