Title: Multivariate Locally Stationary Wavelet Process Analysis with the mvLSW R Package,
Abstract: 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.