Description Usage Arguments Value Author(s)
Takes the Haar wavelet coefficients of multiple time series as an input and
applies the diagonal transforms proposed in Barigozzi, Cho & Fryzlewicz (2016), g_j
,
which turns n
-dimensional time series to n
-dimensional panel data.
1 |
coef |
Haar wavelet coefficients returned by |
n
-dimensional panel of wavelet-transforms of input time series
Haeran Cho
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