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>).

Package details

AuthorSophie Achard [aut, cre], Irene Gannaz [aut]
MaintainerSophie Achard <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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multiwave documentation built on May 6, 2019, 9:02 a.m.