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.

Version: 0.0.4
Imports: longmemo, stats, pbapply, deSolve, RobPer, mvtnorm, pracma
Suggests: knitr, rmarkdown
Published: 2023-06-15
DOI: 10.32614/CRAN.package.mvDFA
Author: Julien Patrick Irmer ORCID iD [aut, cre, cph], Sebastian Wallot [aut, ctb]
Maintainer: Julien Patrick Irmer <jirmer at>
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
CRAN checks: mvDFA results


Reference manual: mvDFA.pdf
Vignettes: mvDFA


Package source: mvDFA_0.0.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): mvDFA_0.0.4.tgz, r-oldrel (arm64): mvDFA_0.0.4.tgz, r-release (x86_64): mvDFA_0.0.4.tgz, r-oldrel (x86_64): mvDFA_0.0.4.tgz


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