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mvLSW (version 1.1)

Multivariate, Locally Stationary Wavelet Process Estimation

Description

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; and, estimation of the asymptotic variance for mvEWS elements. See Park, Eckley and Ombao (2014) for details.

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Version

Install

install.packages('mvLSW')

Monthly Downloads

302

Version

1.1

License

GPL (>= 3)

Maintainer

Simon Taylor

Last Published

February 24th, 2017

Functions in mvLSW (1.1)

Asymp_Quantile

Evaluate the asymptotic quantile of a mvEWS estimate
Spectrum2Transfer

Convert between EWS and Transfer function matrices
as.mvLSW

Multivariate Locally Stationary Wavelet Object
mvLSW

Multivaraite, Locally Stationary Wavelet Process Estimation
plot.mvLSW

Plot mvLSW Object
rmvLSW

Sample a Multivariate Locally Stationary Wavelet Process
summary.mvLSW

Print a summary of mvLSW Object
coherence

Wavelet Coherence
mvEWS

Multivariate Evolutionary Wavelet Spectrum
Autocorrelation

Wavelet Autocorrelation Functions
varEWS

Asymptotic Variance of the Multivaraite Evolutionary Wavelet Spectrum