mvLSW: 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) <doi:10.1109/TSP.2014.2343937> for details.

Version: 1.2.5
Depends: R (≥ 3.2), fields, wavethresh, xts, zoo, methods
Published: 2022-06-14
DOI: 10.32614/CRAN.package.mvLSW
Author: Simon Taylor [aut], Tim Park [aut], Idris Eckley [ths], Rebecca Killick [ctb], Daniel Grose [aut, cre]
Maintainer: Daniel Grose <dan.grose at>
License: GPL (≥ 3)
NeedsCompilation: yes
Citation: mvLSW citation info
Materials: NEWS
In views: TimeSeries
CRAN checks: mvLSW results


Reference manual: mvLSW.pdf


Package source: mvLSW_1.2.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): mvLSW_1.2.5.tgz, r-oldrel (arm64): mvLSW_1.2.5.tgz, r-release (x86_64): mvLSW_1.2.5.tgz, r-oldrel (x86_64): mvLSW_1.2.5.tgz
Old sources: mvLSW archive

Reverse dependencies:

Reverse depends: mvLSWimpute


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