Estimation of Multivariate Long-Memory Models Parameters
Time series obtained by an fMRI experiment on the brain
Wavelets coefficients utilities
Exact discrete wavelet decomposition
simulation of FIVARMA process
Evaluation of function
multivariate Fourier Whittle estimators
multivariate Fourier Whittle estimators
evaluation of multivariate Fourier Whittle estimator
Estimation of multivariate long-memory models parameters: memory param...
multivariate wavelet Whittle estimation
multivariate wavelet Whittle estimation of the long-run covariance mat...
evaluation of multivariate wavelet Whittle estimation
multivariate wavelet Whittle estimation for data as wavelet coefficien...
multivariate wavelet Whittle estimation of the long-run covariance mat...
multivariate wavelet Whittle estimation for data as wavelet coefficien...
discrete Fourier transform of the wavelet
wavelet scaling filter coefficients
scaling function and the wavelet function
Transform a vector in a non symmetric Toeplitz matrix
simulation of multivariate ARMA process
simulation of vector fractional differencing process
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>).