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) ; Shimotsu (2007) ). Two semi-parametric methods are implemented: a Fourier based approach (Shimotsu (2007) ) and a wavelet based approach (Achard and Gannaz (2016) ; Achard and Gannaz (2024) ). Real and complex wavelets are implemented.