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Showing content from https://github.com/toygur/vectorwavelet below:

toygur/vectorwavelet: Vector wavelet coherence for multiple time series

To download the development version of the package, type the following at the R command line:

install.packages("devtools")
devtools::install_github("toygur/vectorwavelet")

The vectorwavelet R package was created for n-dimension wavelet coherence analysis for multivariate time series. Biwavelet R package was used for univariate and bivariate analysis and components.

Besides, multiple wavelet coherence (mwc) in the package is the R transformation of Matlab codes created by Ng, Eric KW, and Chan.

Quadruple (qmwc) and n-dimensional vector wavelet coherence (vwc) are used for multidimensional wavelet analysis with a vectorwavelet package.

citation("vectorwavelet")
#> 
#> To cite package 'vectorwavelet' in publications use:
#> 
#>   Tunc Oygur and Gazanfer Unal (2020). vectorwavelet: Vector wavelet
#>   coherence for multiple time series. R package version 0.1.0.
#>   https://github.com/toygur/vectorwavelet
#> 
#> A BibTeX entry for LaTeX users is
#> 
#>   @Manual{,
#>     title = {vectorwavelet: Vector wavelet coherence for multiple time series},
#>     author = {Tunc Oygur and Gazanfer Unal},
#>     year = {2020},
#>     note = {R package version 0.1.0},
#>     url = {https://github.com/toygur/vectorwavelet},
#>   }
#> 
#> ATTENTION: This citation information has been auto-generated from the
#> package DESCRIPTION file and may need manual editing, see
#> 'help("citation")'.

T. Oygur, G. Unal. 2020. Vector wavelet coherence for multiple time series.. Int. J. Dynam. Control.

T. Oygur, G. Unal. 2017. The large fluctuations of the stock return and financial crises evidence from Turkey: using wavelet coherency and VARMA modeling to forecast stock return.. Fluctuation and Noise Letters 16/02

T.C. Gouhier, A. Grinstead and V. Simko. 2016. biwavelet: Conduct univariate and bivariate wavelet analyses. Available from github.com/tgouhier/biwavelet.

Ng, Eric KW and Chan, Johnny CL. 2012. Geophysical applications of partial wavelet coherence and multiple wavelet coherence.. Journal of Atmospheric and Oceanic Technology 29-12:1845–1853.

Grinsted, A., J. C. Moore, and S. Jevrejeva. 2004. Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics 11:561–566.

Torrence, C., and G. P. Compo. 1998. A practical guide to wavelet analysis. Bulletin of the American Meteorological Society 79:61–78.

Torrence, C., and P. J. Webster. 1998. The annual cycle of persistence in the El Niño/Southern Oscillation. Quarterly Journal of the Royal Meteorological Society 124:1985–2004.


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