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) ).

Package details

AuthorSophie Achard [aut, cre], Irene Gannaz [aut]
Date of publication2016-11-24 11:58:00
MaintainerSophie Achard <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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multiwave documentation built on May 29, 2017, 7:15 p.m.