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multiwave: Estimation of Multivariate Long-Memory Models Parameters
Computation of an estimation of the long-memory parameters and the long-run covariance matrix using a multivariate model (Lobato (1999) <doi:10.1016/S0304-4076(98)00038-4>; Shimotsu (2007) <doi:10.1016/j.jeconom.2006.01.003>). Two semi-parametric methods are implemented: a Fourier based approach (Shimotsu (2007) <doi:10.1016/j.jeconom.2006.01.003>) and a wavelet based approach (Achard and Gannaz (2016) <doi:10.1111/jtsa.12170>).
Getting started
Browse package contents
Package details |
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| Author | Sophie Achard [aut, cre], Irene Gannaz [aut] |
| Maintainer | Sophie Achard <sophie.achard@gipsa-lab.fr> |
| License | GPL (>= 2) |
| Version | 1.4 |
| Package repository | View on CRAN |
| Installation |
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