Multivariate Locally Stationary Wavelet Analysis with the mvLSW R Package
Multivariate Locally Stationary Wavelet Analysis with the mvLSW R Package
复制标题
使用 mvLSW R 软件包进行多元局部平稳小波分析
DOI：
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发表时间：
2018
影响因子：
5.8
通讯作者：
I. Eckley
中科院分区：
文献类型：
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作者：
Simon A. C. Taylor;Timothy Park;I. Eckley
本文介绍了R软件包MVLSW。该软件包包含一套用于分析多元本地固定小波（LSW）时间序列的工具。关键元素包括：（i）给定多元进化小波谱（EWS）的多元LSW时间序列的仿真； （ii）给定时间序列的时间依赖性多元EWS的估计； （iii）估计时间序列通道之间时间依赖性的连贯性和部分连贯性；以及（iv）多元EWS估计值的近似置信区间的估计。该软件包的演示是通过模拟示例和数据集包装中的Eustockmarket进行的案例研究进行的。本文已被《统计软件杂志》接受。提出的代码提取物证明MVLSW软件包是根据版本1.2.1执行的。
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. This paper has been accepted by the Journal of Statistical Software. Presented code extracts demonstrating the mvLSW package is performed under version 1.2.1.
影响因子：
5.4
作者：
Park, Timothy;Eckley, Idris A.;Ombao, Hernando C.
通讯作者：
Ombao, Hernando C.