Tools for analysing multivariate time series with wavelets. This includes: simulation of a multivariate locally stationary wavelet (mvLSW) process from a multivariate evolutionary wavelet spectrum (mvEWS); estimation of the mvEWS, local coherence and local partial coherence. See Park, Eckley and Ombao (2014) <doi:10.1109/TSP.2014.2343937> for details.
|Author||Simon Taylor [aut, cre], Tim Park [aut], Idris Eckley [ths], Rebecca Killick [ctb]|
|Maintainer||Simon Taylor <[email protected]>|
|License||GPL (>= 3)|
|Package repository||View on CRAN|
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