arima.filt for fracdiff

[Olivier.Renaud@pse.unige.ch]

Hi,

David Stephenson, on Wed, 13 Jan 1999 asked exactly the question I have: 
> I am trying to make some one step ahead forecasts using a
> fractionally differenced time series model. However, it
> is not clear in S-plus whether arima.filt is capable of 
> correctly dealing with non-integer differences d. 
> 
> Can anyone help me out with this problem ? 
> (An arima.filt that works for fracdiff models would be useful!). 

Since nobody answered on the list, I dare asking the same question.

Olivier