mvLSW (1.2.1)

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Multivariate, Locally Stationary Wavelet Process Estimation.

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. 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 6 months ago.

3 previous versions



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