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LongMemory\r\n\r\n[![Stable](https://img.shields.io/badge/docs-stable-blue.svg)](https://everval.github.io/LongMemory.jl/)\r\n[![Dev](https://img.shields.io/badge/docs-dev-blue.svg)](https://everval.github.io/LongMemory.jl/dev/)\r\n[![Build Status](https://github.com/everval/LongMemory.jl/actions/workflows/CI.yml/badge.svg?branch=master)](https://github.com/everval/LongMemory.jl/actions/workflows/CI.yml?query=branch%3Amaster)\r\n[![Coverage](https://codecov.io/gh/everval/LongMemory.jl/branch/master/graph/badge.svg)](https://codecov.io/gh/everval/LongMemory.jl)\r\n[![DOI](https://zenodo.org/badge/697765094.svg)](https://doi.org/10.5281/zenodo.15096772)\r\n[![DOI](https://joss.theoj.org/papers/10.21105/joss.07708/status.svg)](https://doi.org/10.21105/joss.07708)\r\n\r\n\r\n## About\r\n\r\n**LongMemory.jl** is a package for time series long memory modelling in [***Julia***](https://julialang.org/).\r\n\r\nThe package provides functions for *generating long memory*, *estimating the parameters of the models*, and *forecasting*.\r\n\r\nGenerating methods include *fractional differencing*, *stochastic error duration*, and *cross-sectional aggregation*.\r\n\r\nEstimators include *classic* ones used to estimate the Hurst effect, those inspired by the *log-periodogram regression*, and *parametric* ones.\r\n\r\nForecasting is provided for all parametric estimators.\r\n\r\nMoreover, the package adds *plotting capabilities* to illustrate long memory dynamics and forecasting.\r\n\r\nFinally, the package includes the *Nile River minima* and *Northern Hemisphere Temperature Anomalies* data sets to illustrate the use of the functions.\r\n\r\n## Installation\r\n\r\nThe package is registered in the Julia General registry and can be installed with the Julia package manager.\r\n\r\nFrom the Julia REPL, type `]` to enter the Pkg REPL mode and run:\r\n\r\n```julia\r\npkg\u003e add LongMemory\r\n```\r\n\r\nOr, equivalently, via the `Pkg` API:\r\n\r\n```julia\r\njulia\u003e using Pkg; Pkg.add(\"LongMemory\")\r\n```\r\n\r\n## Usage\r\n\r\nOnce installed, the package can be imported with the command:\r\n\r\n```julia\r\njulia\u003e using LongMemory\r\n```\r\n\r\n## Documentation\r\n\r\nThe package documentation is available [here](https://everval.github.io/LongMemory.jl/) or the link below.\r\n\r\n## Examples\r\n\r\nAn illustrative example of the package usage can be found [here.](https://everval.github.io/files/LM_notebook_illustration.html)\r\n\r\n## Benchmarks\r\n\r\nThe following [notebook](https://everval.github.io/files/LM_notebook_benchmark.html) contains benchmarks for some of the functions in the package against popular ***R*** packages: ***fracdiff*** and ***longMemoryTS***.\r\n\r\n## Citation\r\n\r\nIf you use this package in your research, please cite it as:\r\n\r\nVera-Valdés, J. E., (2025). LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia. Journal of Open Source Software, 10(108), 7708, [https://doi.org/10.21105/joss.07708](https://doi.org/10.21105/joss.07708)\r\n\r\n```bibtex\r\n@article{Vera-Valdés2025, \r\nauthor = {J. Eduardo Vera-Valdés}, \r\ntitle = {LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia}, \r\njournal = {Journal of Open Source Software},\r\ndoi = {10.21105/joss.07708}, \r\nurl = {https://doi.org/10.21105/joss.07708}, \r\nyear = {2025}, \r\npublisher = {The Open Journal}, \r\nvolume = {10}, \r\nnumber = {108}, \r\npages = {7708}\r\n }\r\n```\r\n\r\n## Contributing \r\n\r\nAll types of contributions are encouraged and appreciated.\r\n\r\nIf you find a bug or have a feature request, please open a new [issue](https://github.com/everval/LongMemory.jl/issues). If you would like to contribute code, please open a [pull request](https://github.com/everval/LongMemory.jl/pulls). I welcome all contributions, including bug fixes, documentation improvements, and new features.\r\n\r\nThank you for considering contributing!\r\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Feverval%2Flongmemory.jl","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Feverval%2Flongmemory.jl","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Feverval%2Flongmemory.jl/lists"}