Package: multiwave 2.0

Irene Gannaz

multiwave: Estimation of Multivariate Long-Memory Models Parameters

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>; Achard and Gannaz (2024) <doi:10.1111/jtsa.12719>). Real and complex wavelets are implemented.

Authors:Sophie Achard [aut], Irene Gannaz [aut, cre]

multiwave_2.0.tar.gz
multiwave_2.0.tar.gz(r-4.7-any)multiwave_2.0.tar.gz(r-4.6-any)
multiwave_2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
multiwave/json (API)

# Install 'multiwave' in R:
install.packages('multiwave', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • brainHCP - Time series obtained by an fMRI experiment on the brain

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.38 score 24 scripts 554 downloads 30 exports 2 dependencies

Last updated from:91a64a51ed. Checks:4 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK101
source / vignettesOK181
linux-release-x86_64OK97
wasm-releaseOK103

Exports:compute_njconvmtxDWTcomplexDWTexactfivarmahwletK_evallejamcwmcw_wavmcw_wav_cov_evalmcw_wav_evalmfwmfw_cov_evalmfw_evalmwwmww_cov_evalmww_evalmww_wavmww_wav_cov_evalmww_wav_evalpsi_hat_exactpsi_hat_exact_complexscaling_filterscaling_functionseprtssfacttoeplitz_nonsymvarmavfracdiff

Dependencies:MASSsignal

Readme and manuals

Help Manual

Help pageTopics
Estimation of multivariate long-memory models parameters: memory parameters and long-run covariance matrix (also called fractal connectivity).multiwave-package multiwave
Time series obtained by an fMRI experiment on the brainbrainHCP
Wavelets coefficients utilitiescompute_nj
Convolution matrixconvmtx
Exact discrete wavelet decomposition with common-factor waveletsDWTcomplex
Exact discrete wavelet decompositionDWTexact
simulation of FIVARMA processfivarma
Common-Factor wavelet filter coefficientshwlet
Evaluation of function KK_eval
Evaluation of the roots for spectral factorizationleja
Multivariate complex (or real) wavelet Whittle estimationmcw
Multivariate complex (or real) wavelet Whittle estimation for data as wavelet coefficientsmcw_wav
Multivariate complex (or real) wavelet Whittle estimation of the long-run covariance matrixmcw_wav_cov_eval
Multivariate real wavelet Whittle estimation for data as wavelet coefficientsmcw_wav_eval
multivariate Fourier Whittle estimatorsmfw
multivariate Fourier Whittle estimatorsmfw_cov_eval
evaluation of multivariate Fourier Whittle estimatormfw_eval
Multivariate real wavelet Whittle estimationmww
Multivariate real wavelet Whittle estimation of the long-run covariance matrixmww_cov_eval
Evaluation of multivariate real wavelet Whittle estimationmww_eval
Multivariate real wavelet Whittle estimation for data as wavelet coefficientsmww_wav
Multivariate real wavelet Whittle estimation of the long-run covariance matrixmww_wav_cov_eval
Multivariate real wavelet Whittle estimation for data as wavelet coefficientsmww_wav_eval
Discrete Fourier transform of a real waveletpsi_hat_exact
Discrete Fourier transform of a complex Common-Factor waveletpsi_hat_exact_complex
wavelet scaling filter coefficientsscaling_filter
scaling function and the wavelet functionscaling_function
Evaluation of the roots for spectral factorizationseprts
Spectral factorization of a polynomial.sfact
Transform a vector in a non symmetric Toeplitz matrixtoeplitz_nonsym
simulation of multivariate ARMA processvarma
simulation of vector fractional differencing processvfracdiff