Multivariate, Locally Stationary Wavelet Process Estimation
Evaluate the Approximate Confidence Interval of a mvEWS Estimate
Multivariate Locally Stationary Wavelet Object
Wavelet Autocorrelation Inner Product Functions
Local Wavelet Coherence and Partial Coherence
Multivariate Evolutionary Wavelet Spectrum
Multivariate, Locally Stationary Wavelet Process Estimation
Plot mvLSW Object
Sample a Multivariate Locally Stationary Wavelet Process
Convert Between mvEWS and Transfer Function Matrices
Print a Summary of mvLSW Object
Asymptotic Variance of the mvEWS Estimate
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.