mvLSW (1.1)

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Multivariate, Locally Stationary Wavelet Process Estimation.

http://cran.r-project.org/web/packages/mvLSW

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.

Maintainer: Simon Taylor
Author(s): Simon Taylor [aut, cre], Tim Park [aut], Idris Eckley [ths], Rebecca Killick [ctb]

License: GPL (>= 3)

Uses: fields, wavethresh, xts, zoo

Released 5 months ago.


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