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Multivariate time series with long-dependence are observed in manyapplications such as finance , geophysics or neuroscience. Many packagesprovide estimation tools for univariate settings but few are addressing theproblem of long-dependence estimation for multivariate settings. The packagemultiwave is providing efficient estimation procedures for multivariate timeseries. Two semi-parametric estimation methods of the long-memory exponents andlong-run covariance matrix of time series are implemented. The first one is theFourier-based estimation proposed by [18] and the second one is a wavelet-basedestimation described in [4]. The objective of this paper is to provide anoverview of the R package multiwave with its practical applicationperspectives.

Wavelet-based and Fourier-based multivariate Whittle estimation: multiwave