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mvLSW (version 1.2.5)

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. See Park, Eckley and Ombao (2014) for details.

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Version

Install

install.packages('mvLSW')

Monthly Downloads

251

Version

1.2.5

License

GPL (>= 3)

Maintainer

Daniel Grose

Last Published

June 14th, 2022

Functions in mvLSW (1.2.5)

varEWS

Asymptotic Variance of the mvEWS Estimate
plot.mvLSW

Plot mvLSW Object
ApxCI

Evaluate the Approximate Confidence Interval of a mvEWS Estimate
mvEWS

Multivariate Evolutionary Wavelet Spectrum
mvLSW

Multivariate, Locally Stationary Wavelet Process Estimation
coherence

Local Wavelet Coherence and Partial Coherence
AutoCorrIP

Wavelet Autocorrelation Inner Product Functions
as.mvLSW

Multivariate Locally Stationary Wavelet Object
Spectrum2Transfer

Convert Between mvEWS and Transfer Function Matrices
rmvLSW

Sample a Multivariate Locally Stationary Wavelet Process
summary.mvLSW

Print a Summary of mvLSW Object