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>).

Version: 1.2
Published: 2016-11-24
Author: Sophie Achard [aut, cre], Irene Gannaz [aut]
Maintainer: Sophie Achard <sophie.achard at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: multiwave results


Reference manual: multiwave.pdf
Package source: multiwave_1.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: multiwave_1.2.tgz, r-oldrel: multiwave_1.2.tgz
Old sources: multiwave archive


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