Estimating Long Memory Parameter using Wavelet

Estimation of the long memory parameter using wavelets. Other estimation techniques like GPH (Geweke and Porter-Hudak,1983, ) and Semiparametric methods(Robinson, P. M.,1995, ) also have included.


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Reference manual

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install.packages("WaveLetLongMemory")

0.1.2 by Dr. Ranjit Kumar Paul, 2 years ago


Browse source code at https://github.com/cran/WaveLetLongMemory


Authors: Sandipan Samanta and Dr. Ranjit Kumar Paul


Documentation:   PDF Manual  


GPL license


Depends on fracdiff, wmtsa


See at CRAN