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; and, estimation of the asymptotic variance for mvEWS elements. See Park, Eckley and Ombao (2014) <doi:10.1109/TSP.2014.2343937> for details.

Version: 1.1
Depends: R (≥ 3.2), fields, wavethresh, xts, zoo
Published: 2017-02-24
Author: Simon Taylor [aut, cre], Tim Park [aut], Idris Eckley [ths], Rebecca Killick [ctb]
Maintainer: Simon Taylor <s.taylor2 at>
License: GPL (≥ 3)
NeedsCompilation: yes
CRAN checks: mvLSW results


Reference manual: mvLSW.pdf
Package source: mvLSW_1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: mvLSW_1.1.tgz
OS X Mavericks binaries: r-oldrel: mvLSW_1.1.tgz
Old sources: mvLSW archive


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