文章基本信息

标题：Multivariate Locally Stationary Wavelet Analysis with the mvLSW R Package
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作者：Simon A. C. Taylor ; Timothy Park ; Idris A. Eckley 等
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2019
卷号：90
期号：1
页码：1-19
DOI：10.18637/jss.v090.i11
出版社：University of California, Los Angeles
摘要：This paper describes the R package mvLSW. The package contains a suite of tools for the analysis of multivariate locally stationary wavelet (LSW) time series. Key elements include: (i) the simulation of multivariate LSW time series for a given multivariate evolutionary wavelet spectrum (EWS); (ii) estimation of the time-dependent multivariate EWS for a given time series; (iii) estimation of the time-dependent coherence and partial coherence between time series channels; and, (iv) estimation of approximate confidence intervals for multivariate EWS estimates. A demonstration of the package is presented via both a simulated example and a case study with EuStockMarkets from the datasets package.
其他关键词：mvLSW;multivariate evolutionary wavelet spectrum;coherence;R