Package: multiwave 1.4

multiwave: Estimation of Multivariate Long-Memory Models Parameters

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>).

Authors:Sophie Achard [aut, cre], Irene Gannaz [aut]

# Install 'multiwave' in R:

install.packages('multiwave', repos = c('https://achardso.r-universe.dev', 'https://cloud.r-project.org'))

Datasets:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

Last updated 5 years agofrom:b2aa656055. Checks:OK: 7. Indexed: yes.

Dependencies:

Help page	Topics
Estimation of multivariate long-memory models parameters: memory parameters and long-run covariance matrix (also called fractal connectivity).	multiwave-package multiwave
Time series obtained by an fMRI experiment on the brain	brainHCP
Wavelets coefficients utilities	compute_nj
Exact discrete wavelet decomposition	DWTexact
simulation of FIVARMA process	fivarma
Evaluation of function K	K_eval
multivariate Fourier Whittle estimators	mfw
multivariate Fourier Whittle estimators	mfw_cov_eval
evaluation of multivariate Fourier Whittle estimator	mfw_eval
multivariate wavelet Whittle estimation	mww
multivariate wavelet Whittle estimation of the long-run covariance matrix	mww_cov_eval
evaluation of multivariate wavelet Whittle estimation	mww_eval
multivariate wavelet Whittle estimation for data as wavelet coefficients	mww_wav
multivariate wavelet Whittle estimation of the long-run covariance matrix	mww_wav_cov_eval
multivariate wavelet Whittle estimation for data as wavelet coefficients	mww_wav_eval
discrete Fourier transform of the wavelet	psi_hat_exact
wavelet scaling filter coefficients	scaling_filter
scaling function and the wavelet function	scaling_function
Transform a vector in a non symmetric Toeplitz matrix	toeplitz_nonsym
simulation of multivariate ARMA process	varma
simulation of vector fractional differencing process	vfracdiff