multiwave

swMATH17230CRANmultiwaveMaRDI QIDQ29091

Estimation of Multivariate Long-Memory Models Parameters

Irene Gannaz, Sophie Achard

Last update: 6 May 2019

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.4

Source code repository: https://github.com/cran/multiwave

Cites work

• A semiparametric two-step estimator in a multivariate long memory model
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Multivariate Wavelet Whittle Estimation in Long-range Dependence

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