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mvDFA  

Multivariate Detrended Fluctuation Analysis
View on CRAN: Click here


Download and install mvDFA package within the R console
Install from CRAN:
install.packages("mvDFA")

Install from Github:
library("remotes")
install_github("cran/mvDFA")

Install by package version:
library("remotes")
install_version("mvDFA", "0.0.4")



Attach the package and use:
library("mvDFA")
Maintained by
Julien Patrick Irmer
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-06-15
Latest Update: 2023-06-15
Description:
This R package provides an implementation of multivariate extensions of a well-known fractal analysis technique, Detrended Fluctuations Analysis (DFA; Peng et al., 1995), 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.
How to cite:
Julien Patrick Irmer (2023). mvDFA: Multivariate Detrended Fluctuation Analysis. R package version 0.0.4, https://cran.r-project.org/web/packages/mvDFA. Accessed 22 Dec. 2024.
Previous versions and publish date:
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Complete documentation for mvDFA
Functions, R codes and Examples using the mvDFA R package
Some associated functions: DFA . mvDFA . print.DFA . print.mvDFA . simulate_Lorenz_noise . simulate_MTS_mixed_white_pink_brown . simulate_cMTS . 
Some associated R codes: DFA.R . mvDFA.R . print.DFA.R . print.mvDFA.R . simulate_Lorenz_noise.R . simulate_MTS.R . simulate_cMTS.R . zzz.R .  Full mvDFA package functions and examples
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