Estimation of Multivariate Long-Memory Models Parameters
Description
Computation of an estimation of the long-memory parameters and
the long-run covariance matrix using a multivariate model
(Lobato (1999) ; Shimotsu (2007) ). Two semi-parametric methods are
implemented: a Fourier based approach (Shimotsu (2007) ) and a wavelet based
approach (Achard and Gannaz (2016) ).