LongMemory.jl
LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia - Published in JOSS (2025)
Science Score: 100.0%
This score indicates how likely this project is to be science-related based on various indicators:
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✓CITATION.cff file
Found CITATION.cff file -
✓codemeta.json file
Found codemeta.json file -
✓.zenodo.json file
Found .zenodo.json file -
✓DOI references
Found 13 DOI reference(s) in README and JOSS metadata -
✓Academic publication links
Links to: joss.theoj.org, zenodo.org -
✓Committers with academic emails
1 of 3 committers (33.3%) from academic institutions -
○Institutional organization owner
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✓JOSS paper metadata
Published in Journal of Open Source Software
Keywords
Scientific Fields
Repository
Julia package to generate, estimate, and forecast long memory processes
Basic Info
- Host: GitHub
- Owner: everval
- License: mit
- Language: Julia
- Default Branch: master
- Homepage: https://everval.github.io/LongMemory.jl/
- Size: 1.74 MB
Statistics
- Stars: 11
- Watchers: 1
- Forks: 3
- Open Issues: 0
- Releases: 6
Topics
Metadata Files
README.md
LongMemory
About
LongMemory.jl is a package for time series long memory modelling in Julia.
The package provides functions for generating long memory, estimating the parameters of the models, and forecasting.
Generating methods include fractional differencing, stochastic error duration, and cross-sectional aggregation.
Estimators include classic ones used to estimate the Hurst effect, those inspired by the 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.
Finally, the package includes the Nile River minima and Northern Hemisphere Temperature Anomalies data sets to illustrate the use of the functions.
Installation
The package is registered in the Julia General registry and can be installed with the Julia package manager.
From the Julia REPL, type ] to enter the Pkg REPL mode and run:
julia
pkg> add LongMemory
Or, equivalently, via the Pkg API:
julia
julia> import Pkg; Pkg.add("LongMemory")
Usage
Once installed, the package can be imported with the command:
julia
julia> using LongMemory
Documentation
The package documentation is available here or the link below.
Examples
An illustrative example of the package usage can be found here.
Benchmarks
The following notebook contains benchmarks for some of the functions in the package against popular R packages: fracdiff and longMemoryTS.
Citation
If you use this package in your research, please cite it as:
Vera-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
bibtex
@article{Vera-Valdés2025,
author = {J. Eduardo Vera-Valdés},
title = {LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia},
journal = {Journal of Open Source Software},
doi = {10.21105/joss.07708},
url = {https://doi.org/10.21105/joss.07708},
year = {2025},
publisher = {The Open Journal},
volume = {10},
number = {108},
pages = {7708}
}
Contributing
All types of contributions are encouraged and appreciated.
If you find a bug or have a feature request, please open a new issue. If you would like to contribute code, please open a pull request. I welcome all contributions, including bug fixes, documentation improvements, and new features.
Thank you for considering contributing!
Owner
- Name: J. Eduardo Vera-Valdés
- Login: everval
- Kind: user
- Location: Denmark
- Company: Aalborg University
- Website: https://everval.github.io/
- Twitter: EduardoVeraVal
- Repositories: 2
- Profile: https://github.com/everval
Associate Professor at the Department of Mathematical Sciences at Aalborg University. @DMatAAU @Math-at-Aalborg-University
JOSS Publication
LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia
Authors
Aalborg University, Department of Mathematical Sciences, Aalborg, Denmark
Editor
Oskar Laverny
Tags
long memory long-range dependence fractional difference ARFIMA strong persistenceCitation (CITATION.bib)
@article{Vera-Valdés2025,
author = {J. Eduardo Vera-Valdés},
title = {LongMemory.jl: Generating, Estimating, and Forecasting Long Memory Models in Julia},
journal = {Journal of Open Source Software},
doi = {10.21105/joss.07708},
url = {https://doi.org/10.21105/joss.07708},
year = {2025},
publisher = {The Open Journal},
volume = {10},
number = {108},
pages = {7708}
}
GitHub Events
Total
- Create event: 3
- Release event: 3
- Issues event: 21
- Watch event: 2
- Delete event: 2
- Issue comment event: 20
- Push event: 99
- Pull request review event: 1
- Pull request event: 3
- Fork event: 2
Last Year
- Create event: 3
- Release event: 3
- Issues event: 21
- Watch event: 2
- Delete event: 2
- Issue comment event: 20
- Push event: 99
- Pull request review event: 1
- Pull request event: 3
- Fork event: 2
Committers
Last synced: 5 months ago
Top Committers
| Name | Commits | |
|---|---|---|
| everval | e****a@g****m | 164 |
| CompatHelper Julia | c****y@j****g | 8 |
| Oskar Laverny | o****y@u****r | 1 |
Committer Domains (Top 20 + Academic)
Issues and Pull Requests
Last synced: 4 months ago
All Time
- Total issues: 14
- Total pull requests: 12
- Average time to close issues: 2 months
- Average time to close pull requests: 25 days
- Total issue authors: 3
- Total pull request authors: 3
- Average comments per issue: 1.36
- Average comments per pull request: 0.33
- Merged pull requests: 11
- Bot issues: 0
- Bot pull requests: 8
Past Year
- Issues: 10
- Pull requests: 4
- Average time to close issues: 9 days
- Average time to close pull requests: about 2 hours
- Issue authors: 2
- Pull request authors: 2
- Average comments per issue: 1.1
- Average comments per pull request: 1.0
- Merged pull requests: 3
- Bot issues: 0
- Bot pull requests: 0
Top Authors
Issue Authors
- everval (9)
- PieterjanRobbe (4)
- JuliaTagBot (1)
Pull Request Authors
- github-actions[bot] (8)
- everval (2)
- lrnv (2)
Top Labels
Issue Labels
Pull Request Labels
Packages
- Total packages: 1
- Total downloads: unknown
- Total dependent packages: 0
- Total dependent repositories: 0
- Total versions: 5
juliahub.com: LongMemory
Julia package to generate, estimate, and forecast long memory processes
- Homepage: https://everval.github.io/LongMemory.jl/
- Documentation: https://docs.juliahub.com/General/LongMemory/stable/
- License: MIT
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Latest release: 1.0.0
published 9 months ago
Rankings
Dependencies
- actions/checkout v3 composite
- codecov/codecov-action v3 composite
- julia-actions/cache v1 composite
- julia-actions/julia-buildpkg v1 composite
- julia-actions/julia-docdeploy v1 composite
- julia-actions/julia-processcoverage v1 composite
- julia-actions/julia-runtest v1 composite
- julia-actions/setup-julia v1 composite
- julia-actions/setup-julia v1 composite
- JuliaRegistries/TagBot v1 composite
- actions/checkout v4 composite
- julia-actions/setup-julia v1 composite