|Authors:||Sophie Achard, Irène Gannaz|
|Title:||Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave|
|Abstract:||Multivariate time series with long-dependence are observed in many applications such as finance, geophysics or neuroscience. Many packages provide estimation tools for univariate settings but few are addressing the problem of long-dependence estimation for multivariate settings. The package multiwave is providing efficient estimation procedures for multivariate time series. Two semi-parametric estimation methods of the long-memory exponents and long-run covariance matrix of time series are implemented. The first one is the Fourier-based estimation proposed by Shimotsu (2007) and the second one is a wavelet-based estimation described in Achard and Gannaz (2016). The objective of this paper is to provide an overview of the R package multiwave with its practical application perspectives.|
Page views:: 298. Submitted: 2016-11-25. Published: 2019-05-13.
Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave
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