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: 1.4
Published: 2019-05-06
DOI: 10.32614/CRAN.package.multiwave
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
Citation: multiwave citation info
CRAN checks: multiwave results


Reference manual: multiwave.pdf


Package source: multiwave_1.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): multiwave_1.4.tgz, r-oldrel (arm64): multiwave_1.4.tgz, r-release (x86_64): multiwave_1.4.tgz, r-oldrel (x86_64): multiwave_1.4.tgz
Old sources: multiwave archive


Please use the canonical form to link to this page.