Spectral Decomposition of Connectedness Measures

Accompanies a paper (Barunik, Krehlik (2017) ) dedicated to spectral decomposition of connectedness measures and their interpretation. We implement all the developed estimators as well as the historical counterparts. For more information, see the help or GitHub page (< https://github.com/tomaskrehlik/frequencyConnectedness>) for relevant information.


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Reference manual

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install.packages("frequencyConnectedness")

0.1.6 by Tomas Krehlik, 3 months ago


https://github.com/tomaskrehlik/frequencyConnectedness


Report a bug at https://github.com/tomaskrehlik/frequencyConnectedness/issues


Browse source code at https://github.com/cran/frequencyConnectedness


Authors: Tomas Krehlik [aut, cre]


Documentation:   PDF Manual  


GPL-2 license


Depends on vars, urca

Suggests testthat, stringr, mAr, reshape2, ggplot2, parallel, zoo


See at CRAN