Vector Wavelet Coherence for Multiple Time Series

New wavelet methodology (vector wavelet coherence) (Oygur, T., Unal, G, 2020 ) to handle dynamic co-movements of multivariate time series via extending multiple and quadruple wavelet coherence methodologies. This package can be used to perform multiple wavelet coherence, quadruple wavelet coherence, and n-dimensional vector wavelet coherence analyses.


Reference manual

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0.1.0 by Tunc Oygur, a year ago

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Browse source code at

Authors: Tunc Oygur [aut, cre] , Gazanfer Unal [aut] , Tarik C. Gouhier [ctb] , Aslak Grinsted [ctb] , Viliam Simko [ctb]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports iterators, spam, maps, fields, foreach, Rcpp

Depends on biwavelet

Suggests knitr, rmarkdown, devtools

See at CRAN