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.
