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>; Achard and Gannaz (2024) <doi:10.1111/jtsa.12719>). Real and complex wavelets are implemented.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
2.0 |
rolling linux/jammy R-4.5 | multiwave_2.0.tar.gz |
971.4 KiB |
2.0 |
rolling linux/noble R-4.5 | multiwave_2.0.tar.gz |
971.6 KiB |
2.0 |
rolling source/ R- | multiwave_2.0.tar.gz |
827.0 KiB |
2.0 |
latest linux/jammy R-4.5 | multiwave_2.0.tar.gz |
971.4 KiB |
2.0 |
latest linux/noble R-4.5 | multiwave_2.0.tar.gz |
971.6 KiB |
2.0 |
latest source/ R- | multiwave_2.0.tar.gz |
827.0 KiB |
2.0 |
2026-04-26 source/ R- | multiwave_2.0.tar.gz |
827.0 KiB |
2.0 |
2026-04-23 source/ R- | multiwave_2.0.tar.gz |
827.0 KiB |
2.0 |
2026-04-09 windows/windows R-4.5 | multiwave_2.0.zip |
975.6 KiB |
1.4 |
2025-04-20 source/ R- | multiwave_1.4.tar.gz |
912.0 KiB |