vectorwavelet: Vector Wavelet Coherence for Multiple Time Series
Tunc Oygur [aut, cre], Gazanfer Unal [aut], Tarik C. Gouhier [ctb], Aslak Grinsted [ctb], Viliam Simko [ctb] · 2021
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.