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multiwave  

Estimation of Multivariate Long-Memory Models Parameters
View on CRAN: Click here


Download and install multiwave package within the R console
Install from CRAN:
install.packages("multiwave")

Install from Github:
library("remotes")
install_github("cran/multiwave")

Install by package version:
library("remotes")
install_version("multiwave", "1.4")



Attach the package and use:
library("multiwave")
Maintained by
Sophie Achard
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-10-28
Latest Update: 2019-05-06
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) ).
How to cite:
Sophie Achard (2015). multiwave: Estimation of Multivariate Long-Memory Models Parameters. R package version 1.4, https://cran.r-project.org/web/packages/multiwave. Accessed 22 Dec. 2024.
Previous versions and publish date:
1.0 (2015-10-28 18:39), 1.1 (2016-10-15 18:52), 1.2 (2016-11-24 11:58)
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