CNLTtsa-packageR Documentation

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Description

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Details

The DESCRIPTION file: \Sexpr[results=rd,stage=build]{tools:::Rd_package_DESCRIPTION("CNLTtsa")} \Sexpr[results=rd,stage=build]{tools:::Rd_package_indices("CNLTtsa")}

The main routines of the package are cnlt.univ and cnlt.biv which perform the nondecimated complex-valued lifting transform for univariate and bivariate time series, respectively; cnlt.spec computes spectral quantities of interest, for example the coherence and phase between two components of a bivariate series.

Author(s)

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Maintainer: \Sexpr[results=rd,stage=build]{tools:::Rd_package_maintainer("CNLTtsa")}

References

Hamilton, J., Nunes, M. A, Knight, M. I. and Fryzlewicz, P. (2018) Complex-valued wavelet lifting and applications. Technometrics, 60 (1), 48-60, DOI 10.1080/00401706.2017.1281846.

For related literature on the lifting methodology adopted in the technique, see

Knight, M. I. and Nason, G. P. (2009) A 'nondecimated' wavelet transform. Stat. Comput. 19 (1), 1–16.

Knight, M. I., Nunes, M. A. and Nason, G. P. (2012) Spectral Estimation for Locally Stationary Time Series with Missing Observations. Stat. Comput. 22 (4), 877–895.

See Also

cnlt.reg