multiwave: Estimation of Multivariate Long-Memory Models Parameters

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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>).

Author
Sophie Achard [aut, cre], Irene Gannaz [aut]
Date of publication
2016-11-24 11:58:00
Maintainer
Sophie Achard <sophie.achard@gipsa-lab.fr>
License
GPL (>= 2)
Version
1.2

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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

Files in this package

multiwave
multiwave/NAMESPACE
multiwave/data
multiwave/data/brainHCP.txt.gz
multiwave/R
multiwave/R/compute_nj.R
multiwave/R/DWTexact.R
multiwave/R/mww.R
multiwave/R/K_eval.R
multiwave/R/mww_wav_cov_eval.R
multiwave/R/mfw_cov_eval.R
multiwave/R/mww_wav.R
multiwave/R/mfw_eval.R
multiwave/R/mfw.R
multiwave/R/psi_hat_exact.R
multiwave/R/varma.R
multiwave/R/scaling_function.R
multiwave/R/vfracdiff.R
multiwave/R/mww_cov_eval.R
multiwave/R/fivarma.R
multiwave/R/mww_eval.R
multiwave/R/scaling_filter.R
multiwave/R/mww_wav_eval.R
multiwave/MD5
multiwave/DESCRIPTION
multiwave/man
multiwave/man/mww_wav_cov_eval.Rd
multiwave/man/varma.Rd
multiwave/man/mww_cov_eval.Rd
multiwave/man/vfracdiff.Rd
multiwave/man/mww.Rd
multiwave/man/mww_eval.Rd
multiwave/man/mfw.Rd
multiwave/man/mfw_cov_eval.Rd
multiwave/man/psi_hat_exact.Rd
multiwave/man/multiwave-package.Rd
multiwave/man/brainHCP.Rd
multiwave/man/compute_nj.Rd
multiwave/man/scaling_filter.Rd
multiwave/man/toeplitz_nonsym.Rd
multiwave/man/mww_wav.Rd
multiwave/man/scaling_function.Rd
multiwave/man/mww_wav_eval.Rd
multiwave/man/fivarma.Rd
multiwave/man/mfw_eval.Rd
multiwave/man/DWTexact.Rd
multiwave/man/K_eval.Rd