Estimation of Multivariate Long-Memory Models Parameters

Documentation for package ‘multiwave’ version 1.0

multiwave-package	Estimation of multivariate long-memory models parameters: memory parameters and long-run covariance matrix (also called fractal connectivity).
compute_nj	Wavelets coefficients utilities
DWTexact	Exact discrete wavelet decomposition
K_eval	Evaluation of function K
mfw	multivariate Fourier Whittle estimators
mfw_cov_eval	multivariate Fourier Whittle estimators
mfw_eval	evaluation of multivariate Fourier Whittle estimator
multiwave	Estimation of multivariate long-memory models parameters: memory parameters and long-run covariance matrix (also called fractal connectivity).
mww	multivariate wavelet Whittle estimation
mww_cov_eval	multivariate wavelet Whittle estimation of the long-run covariance matrix
mww_eval	evaluation of multivariate wavelet Whittle estimation
mww_wav	multivariate wavelet Whittle estimation for data as wavelet coefficients
mww_wav_cov_eval	multivariate wavelet Whittle estimation of the long-run covariance matrix
mww_wav_eval	multivariate wavelet Whittle estimation for data as wavelet coefficients
psi_hat_exact	discrete Fourier transform of the wavelet
scaling_filter	wavelet scaling filter coefficients
scaling_function	scaling function and the wavelet function
toeplitz_nonsym	Transform a vector in a non symmetric Toeplitz matrix
varfima	simulation of multivariate ARFIMA process
varma	simulation of multivariate ARMA process
vfracdiff	simulation of vectorial fractional differencing process