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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.
Package details |
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Author | Simon Taylor [aut], Tim Park [aut], Idris Eckley [ths], Rebecca Killick [ctb], Daniel Grose [aut, cre] |
Maintainer | Daniel Grose <dan.grose@lancaster.ac.uk> |
License | GPL (>= 3) |
Version | 1.2.5 |
Package repository | View on CRAN |
Installation |
Install the latest version of this package by entering the following in R:
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