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>).

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

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Functions

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

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