Multivariate Locally Stationary Wavelet Analysis with the mvLSW R Package

Simon A. C. Taylor, Timothy Park, Idris A. Eckley

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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.

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