CRAN/E | mvDFA

mvDFA

Multivariate Detrended Fluctuation Analysis

Installation

About

This R package provides an implementation of multivariate extensions of a well-known fractal analysis technique, Detrended Fluctuations Analysis (DFA; Peng et al., 1995doi: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.

github.com/jpirmer/mvDFA
Bug report File report

Key Metrics

Version 0.0.4
Published 2023-06-15 482 days ago
Needs compilation? no
License GPL-3
CRAN checks mvDFA results

Downloads

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Maintainer

Maintainer

Julien Patrick Irmer

Authors

Julien Patrick Irmer

aut / cre / cph

Sebastian Wallot

aut / ctb

Material

README
NEWS
Reference manual
Package source

Vignettes

mvDFA

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-develnot available

x86_64

r-releasenot available

x86_64

r-oldrelnot available

x86_64

Imports

longmemo
stats
pbapply
deSolve
RobPer
mvtnorm
pracma

Suggests

knitr
rmarkdown