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multiwave (version 1.0)

Estimation of Multivariate Long-Memory Models Parameters

Description

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 2014).

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Version

Install

install.packages('multiwave')

Monthly Downloads

170

Version

1.0

License

GPL (>= 2)

Maintainer

Sophie Achard

Last Published

October 28th, 2015

Functions in multiwave (1.0)

mww_cov_eval

multivariate wavelet Whittle estimation of the long-run covariance matrix
varfima

simulation of multivariate ARFIMA process
vfracdiff

simulation of vectorial fractional differencing process
psi_hat_exact

discrete Fourier transform of the wavelet
scaling_function

scaling function and the wavelet function
mww

multivariate wavelet Whittle estimation
mfw

multivariate Fourier Whittle estimators
mfw_eval

evaluation of multivariate Fourier Whittle estimator
mfw_cov_eval

multivariate Fourier Whittle estimators
mww_wav_eval

multivariate wavelet Whittle estimation for data as wavelet coefficients
multiwave-package

Estimation of multivariate long-memory models parameters: memory parameters and long-run covariance matrix (also called fractal connectivity).
K_eval

Evaluation of function $K$
mww_wav_cov_eval

multivariate wavelet Whittle estimation of the long-run covariance matrix
mww_eval

evaluation of multivariate wavelet Whittle estimation
mww_wav

multivariate wavelet Whittle estimation for data as wavelet coefficients
varma

simulation of multivariate ARMA process
toeplitz_nonsym

Transform a vector in a non symmetric Toeplitz matrix
compute_nj

Wavelets coefficients utilities
scaling_filter

wavelet scaling filter coefficients
DWTexact

Exact discrete wavelet decomposition