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LSWPlib (version 0.1.0)

Simulation and Spectral Estimation of Locally Stationary Wavelet Packet Processes

Description

Library of functions for the statistical analysis and simulation of Locally Stationary Wavelet Packet (LSWP) processes. The methods implemented by this library are described in Cardinali and Nason (2017) .

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Version

Install

install.packages('LSWPlib')

Monthly Downloads

235

Version

0.1.0

License

GPL-3

Maintainer

Alessandro Cardinali

Last Published

March 9th, 2022

Functions in LSWPlib (0.1.0)

LSWPbasis

Estimate an LSWP basis by penalised least squares
LSWPlib

LSWPlib Package
autoconv

Auto Convolution
get.flat.basis

Wavelet Packet Basis for a single scale
get.wavelet.basis

Wavelet Packet indices for a Wavelet Basis
best.basis

Best basis selection from a dyadic tree
summary.LSWPbasis

Summary method for Objects of Class LSWPbasis
LSWPsim

Simulation of LSWP processes
sp500

Daily log-returns for the S&P 500 stock index.
LSWPspec

Locally Stationary Wavelet Packet Spectral Estimation
marg.spec

Wavelet Packet Marginal Spectra
plot.LSWPspec

Plot for Objects of Class LSWPspec