Computation of an estimation of the long-memory parameters and the long-run covariance matrix using a multivariate model (Lobato (1999) <doi:10.1016/S0304-4076(98)00038-4>; Shimotsu (2007) <doi:10.1016/j.jeconom.2006.01.003>). Two semi-parametric methods are implemented: a Fourier based approach (Shimotsu (2007) <doi:10.1016/j.jeconom.2006.01.003>) and a wavelet based approach (Achard and Gannaz (2016) <doi:10.1111/jtsa.12170>).
| Version: | 1.4 |
| Published: | 2019-05-06 |
| DOI: | 10.32614/CRAN.package.multiwave |
| Author: | Sophie Achard [aut, cre], Irene Gannaz [aut] |
| Maintainer: | Sophie Achard <sophie.achard at gipsa-lab.fr> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | multiwave citation info |
| CRAN checks: | multiwave results |
| Reference manual: | multiwave.pdf |
| Package source: | multiwave_1.4.tar.gz |
| Windows binaries: | r-devel: multiwave_1.4.zip, r-release: multiwave_1.4.zip, r-oldrel: multiwave_1.4.zip |
| macOS binaries: | r-release (arm64): multiwave_1.4.tgz, r-oldrel (arm64): multiwave_1.4.tgz, r-release (x86_64): multiwave_1.4.tgz, r-oldrel (x86_64): multiwave_1.4.tgz |
| Old sources: | multiwave archive |
| Reverse imports: | mlmts |
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