Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave
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 multiwav...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2019-05-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/2933 |