In toygur/vectorwavelet: Vector Wavelet Coherence for Multiple Time Series

library(vectorwavelet)

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

set.seed(2020)

vectorwavelet R package

Download and Install

To download the development version of the package, type the following at the R command line:

install.packages("devtools")
devtools::install_github("toygur/vectorwavelet")

About vectorwavelet

The vectorwavelet R package was created for n-dimension wavelet coherence analysis for multivariate time series. Biwavelet R package was used for univariate and bivariate analysis and components.

Besides, multiple wavelet coherence (mwc) in the package is the R transformation of Matlab codes created by Ng, Eric KW, and Chan.

Quadruple (qmwc) and n-dimensional vector wavelet coherence (vwc) are used for multidimensional wavelet analysis with a vectorwavelet package.

How to cite

citation("vectorwavelet")

References

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

T. Oygur, G. Unal. 2017. 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 16/02

T.C. Gouhier, A. Grinstead and V. Simko. 2016. biwavelet: Conduct univariate and bivariate wavelet analyses. Available from 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.

Torrence, C., and P. J. Webster. 1998. The annual cycle of persistence in the El Niño/Southern Oscillation. Quarterly Journal of the Royal Meteorological Society 124:1985–2004.

toygur/vectorwavelet documentation built on Jan. 19, 2021, 4:22 p.m.