vectorwavelet-package: Vector wavelet coherence for multiple time series
In vectorwavelet: Vector Wavelet Coherence for Multiple Time Series

Description: This package can be used to perform multiple wavelet coherence (mwc), quadruple wavelet coherence (qmwc), and n-dimensional vector wavelet coherence (vwc) analyses.

Tunc Oygur, Gazanfer Unal

Maintainer: Tunc Oygur <info@tuncoygur.com.tr>

Code based on biwavelet package written by Tarik C. Gouhier, Aslak Grinsted, Viliam Simko.

T. Oygur, G. Unal.. Vector wavelet coherence for multiple time series. Int. J. Dynam. Control (2020).

T. Oygur, G. Unal.. The large fluctuations of the stock return and financial crises evidence from Turkey: using wavelet coherency and VARMA modeling to forecast stock return. Fluctuation and Noise Letters, 2017

T.C. Gouhier, A. Grinstead and V. Simko. 2016. biwavelet: Conduct univariate and bivariate wavelet analyses (Version 0.20.15). Available from http://github.com/tgouhier/biwavelet

Ng, Eric KW and Chan, Johnny CL. 2012. Geophysical applications of partial wavelet coherence and multiple wavelet coherence. Journal of Atmospheric and Oceanic Technology 29-12:1845–1853.

Grinsted, A., J. C. Moore, and S. Jevrejeva. 2004. Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics 11:561-566.

Torrence, C., and G. P. Compo. 1998. A Practical Guide to Wavelet Analysis. Bulletin of the American Meteorological Society 79:61-78.

vectorwavelet documentation built on Jan. 16, 2021, 5:38 p.m.