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arXiv · 1811.10224

Wavelet-based and Fourier-based multivariate Whittle estimation: multiwave

Sophie Achard·Irène Gannaz
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Abstract

Multivariate time series with long-dependence are observed in many applications such as finance , geophysics or neuroscience. Many packages provide estimation tools for univariate settings but few are addressing the problem of long-dependence estimation for multivariate settings. The package multiwave is providing efficient estimation procedures for multivariate time series. Two semi-parametric estimation methods of the long-memory exponents and long-run covariance matrix of time series are implemented. The first one is the Fourier-based estimation proposed by [18] and the second one is a wavelet-based estimation described in [4]. The objective of this paper is to provide an overview of the R package multiwave with its practical application perspectives.

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Sophie Achard, Irène Gannaz. 2018-11-26. Wavelet-based and Fourier-based multivariate Whittle estimation: multiwave. https://arxiv.org/abs/1811.10224

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