multiwave: Estimation of Multivariate Long-Memory Models Parameters
Version 1.2

Computation of an estimation of the long-memory parameters and the long-run covariance matrix using a multivariate model (Lobato (1999) ; Shimotsu (2007) ). Two semi-parametric methods are implemented: a Fourier based approach (Shimotsu (2007) ) and a wavelet based approach (Achard and Gannaz (2016) ).

AuthorSophie Achard [aut, cre], Irene Gannaz [aut]
Date of publication2016-11-24 11:58:00
MaintainerSophie Achard <sophie.achard@gipsa-lab.fr>
LicenseGPL (>= 2)
Version1.2
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("multiwave")

Getting started

Package overview

Popular man pages

brainHCP: Time series obtained by an fMRI experiment on the brain
DWTexact: Exact discrete wavelet decomposition
fivarma: simulation of FIVARMA process
mfw: multivariate Fourier Whittle estimators
mww: multivariate wavelet Whittle estimation
scaling_function: scaling function and the wavelet function
toeplitz_nonsym: Transform a vector in a non symmetric Toeplitz matrix
See all...

All man pages Function index File listing

Man pages

brainHCP: Time series obtained by an fMRI experiment on the brain
compute_nj: Wavelets coefficients utilities
DWTexact: Exact discrete wavelet decomposition
fivarma: simulation of FIVARMA process
K_eval: Evaluation of function K
mfw: multivariate Fourier Whittle estimators
mfw_cov_eval: multivariate Fourier Whittle estimators
mfw_eval: evaluation of multivariate Fourier Whittle estimator
multiwave-package: Estimation of multivariate long-memory models parameters:...
mww: multivariate wavelet Whittle estimation
mww_cov_eval: multivariate wavelet Whittle estimation of the long-run...
mww_eval: evaluation of multivariate wavelet Whittle estimation
mww_wav: multivariate wavelet Whittle estimation for data as wavelet...
mww_wav_cov_eval: multivariate wavelet Whittle estimation of the long-run...
mww_wav_eval: multivariate wavelet Whittle estimation for data as wavelet...
psi_hat_exact: discrete Fourier transform of the wavelet
scaling_filter: wavelet scaling filter coefficients
scaling_function: scaling function and the wavelet function
toeplitz_nonsym: Transform a vector in a non symmetric Toeplitz matrix
varma: simulation of multivariate ARMA process
vfracdiff: simulation of vector fractional differencing process

Functions

DWTexact Man page Source code
K_eval Man page Source code
brainHCP Man page
compute_nj Man page Source code
fivarma Man page Source code
mfw Man page Source code
mfw_cov_eval Man page Source code
mfw_eval Man page Source code
multiwave Man page
multiwave-package Man page
mww Man page Source code
mww_cov_eval Man page Source code
mww_eval Man page Source code
mww_wav Man page Source code
mww_wav_cov_eval Man page Source code
mww_wav_eval Man page Source code
psi_hat_exact Man page Source code
scaling_filter Man page Source code
scaling_function Man page Source code
toeplitz_nonsym Man page Source code
varma Man page Source code
vfracdiff Man page Source code

Files

NAMESPACE
data
data/brainHCP.txt.gz
R
R/compute_nj.R
R/DWTexact.R
R/mww.R
R/K_eval.R
R/mww_wav_cov_eval.R
R/mfw_cov_eval.R
R/mww_wav.R
R/mfw_eval.R
R/mfw.R
R/psi_hat_exact.R
R/varma.R
R/scaling_function.R
R/vfracdiff.R
R/mww_cov_eval.R
R/fivarma.R
R/mww_eval.R
R/scaling_filter.R
R/mww_wav_eval.R
MD5
DESCRIPTION
man
man/mww_wav_cov_eval.Rd
man/varma.Rd
man/mww_cov_eval.Rd
man/vfracdiff.Rd
man/mww.Rd
man/mww_eval.Rd
man/mfw.Rd
man/mfw_cov_eval.Rd
man/psi_hat_exact.Rd
man/multiwave-package.Rd
man/brainHCP.Rd
man/compute_nj.Rd
man/scaling_filter.Rd
man/toeplitz_nonsym.Rd
man/mww_wav.Rd
man/scaling_function.Rd
man/mww_wav_eval.Rd
man/fivarma.Rd
man/mfw_eval.Rd
man/DWTexact.Rd
man/K_eval.Rd
multiwave documentation built on May 19, 2017, 5:48 p.m.

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