Package: mvDFA 0.0.4

Julien Patrick Irmer

mvDFA: Multivariate Detrended Fluctuation Analysis

This R package provides an implementation of multivariate extensions of a well-known fractal analysis technique, Detrended Fluctuations Analysis (DFA; Peng et al., 1995<doi:10.1063/1.166141>), for multivariate time series: multivariate DFA (mvDFA). Several coefficients are implemented that take into account the correlation structure of the multivariate time series to varying degrees. These coefficients may be used to analyze long memory and changes in the dynamic structure that would by univariate DFA. Therefore, this R package aims to extend and complement the original univariate DFA (Peng et al., 1995) for estimating the scaling properties of nonstationary time series.

Authors:Julien Patrick Irmer [aut, cre, cph], Sebastian Wallot [aut, ctb]

mvDFA_0.0.4.tar.gz
mvDFA_0.0.4.zip(r-4.5)mvDFA_0.0.4.zip(r-4.4)mvDFA_0.0.4.zip(r-4.3)
mvDFA_0.0.4.tgz(r-4.4-any)mvDFA_0.0.4.tgz(r-4.3-any)
mvDFA_0.0.4.tar.gz(r-4.5-noble)mvDFA_0.0.4.tar.gz(r-4.4-noble)
mvDFA_0.0.4.tgz(r-4.4-emscripten)mvDFA_0.0.4.tgz(r-4.3-emscripten)
mvDFA.pdf |mvDFA.html✨
mvDFA/json (API)
NEWS

Peer review:

Bug tracker:https://github.com/jpirmer/mvdfa/issues

On CRAN:

5 exports 1 stars 0.73 score 18 dependencies 2 scripts 188 downloads

Last updated 1 years agofrom:00e19fa6d8. Checks:OK: 7. Indexed: yes.

Exports:DFAmvDFAsimulate_cMTSsimulate_Lorenz_noisesimulate_MTS_mixed_white_pink_brown

Dependencies:BBDEoptimRdeSolvelatticelongmemoMASSMatrixMatrixModelsmvtnormpbapplypracmaquadprogquantregrgenoudRobPerrobustbaseSparseMsurvival