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multiwave (version 1.4)

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 (2016) ).

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Version

Install

install.packages('multiwave')

Monthly Downloads

170

Version

1.4

License

GPL (>= 2)

Maintainer

Sophie Achard

Last Published

May 6th, 2019

Functions in multiwave (1.4)

mfw_cov_eval

multivariate Fourier Whittle estimators
K_eval

Evaluation of function \(K\)
varma

simulation of multivariate ARMA process
DWTexact

Exact discrete wavelet decomposition
toeplitz_nonsym

Transform a vector in a non symmetric Toeplitz matrix
scaling_filter

wavelet scaling filter coefficients
scaling_function

scaling function and the wavelet function
brainHCP

Time series obtained by an fMRI experiment on the brain
compute_nj

Wavelets coefficients utilities
mww_cov_eval

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

evaluation of multivariate wavelet Whittle estimation
fivarma

simulation of FIVARMA process
mfw

multivariate Fourier Whittle estimators
mww_wav

multivariate wavelet Whittle estimation for data as wavelet coefficients
mww_wav_cov_eval

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

simulation of vector fractional differencing process
multiwave-package

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

multivariate wavelet Whittle estimation
mfw_eval

evaluation of multivariate Fourier Whittle estimator
mww_wav_eval

multivariate wavelet Whittle estimation for data as wavelet coefficients
psi_hat_exact

discrete Fourier transform of the wavelet