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Article Dans Une Revue Journal of Statistical Software Année : 2019

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

Sophie Achard
Irène Gannaz

Résumé

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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hal-01840099 , version 1 (22-11-2018)

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Sophie Achard, Irène Gannaz. Wavelet-based and Fourier-based multivariate Whittle estimation: multiwave. Journal of Statistical Software, 2019, 89 (6), ⟨10.18637/jss.v089.i06⟩. ⟨hal-01840099⟩
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