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) <doi:10.1109/TSP.2014.2343937> for details.
| Version: | 1.1 |
| Depends: | R (≥ 3.2), fields, wavethresh, xts, zoo |
| Published: | 2017-02-24 |
| Author: | Simon Taylor [aut, cre], Tim Park [aut], Idris Eckley [ths], Rebecca Killick [ctb] |
| Maintainer: | Simon Taylor <s.taylor2 at lancaster.ac.uk> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | yes |
| CRAN checks: | mvLSW results |
| Reference manual: | mvLSW.pdf |
| Package source: | mvLSW_1.1.tar.gz |
| Windows binaries: | r-devel: mvLSW_1.0.zip, r-release: mvLSW_1.0.zip, r-oldrel: mvLSW_1.0.zip |
| OS X Mavericks binaries: | r-release: mvLSW_1.0.tgz, r-oldrel: mvLSW_1.0.tgz |
| Old sources: | mvLSW archive |
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