G.hat Estimates the matrix G of a multivariate long memory process
based on an estimate of the vector of memory parameters. The assumed spectral
density is that of Shimotsu (2007).
G_hat_cpp(peri, Lambda_cube, d_vec, m, l, q)cube containing the periodogram of the multivariate process X.
cube containing the Lambda matrices.
q-dimensional data vector.
bandwith parameter specifying the number of Fourier frequencies
used for the estimation usually floor(1+T^delta), where 0<delta<1.
dimension of the process.
Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.