mvLSW (1.2.3)

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 about 1 month ago.