Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave

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Authors Sophie Achard, Irène Gannaz
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper 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 [18] and the second one is a wavelet-based estimation described in [4]. The objective of this paper is to provide an overview of the R package multiwave with its practical application perspectives.
Date of publication 2018
Code Programming Language R
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