mvLSW: Multivariate, Locally Stationary Wavelet Process Estimation

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.

Getting started

Package details

AuthorSimon Taylor [aut, cre], Tim Park [aut], Idris Eckley [ths], Rebecca Killick [ctb]
MaintainerSimon Taylor <[email protected]>
LicenseGPL (>= 3)
Version1.2.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mvLSW")

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mvLSW documentation built on Oct. 24, 2018, 5:05 p.m.