wavemulcor: Wavelet routine for multiple correlation. Wavelet routines that calculate single sets of wavelet multiple correlations and cross-correlations out of n variables (either 1D time series, 2D images or 3D arrays). They can later be plotted in single graphs, as an alternative to trying to make sense out of several sets of wavelet correlations or wavelet cross-correlations. The code is based on the calculation, at each wavelet scale, of the square root of the coefficient of determination in a linear combination of variables for which such coefficient of determination is a maximum. The code provided here is based on the wave.correlation routine in Brandon Whitcher’s waveslim R package Version: 1.6.4, which in turn is based on wavelet methodology developed in Percival and Walden (2000); Gencay, Selcuk and Whitcher (2001) and others.
Keywords for this software
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Gençay, R.; Selçuk, F.; Whitcher, B.: Differentiating intraday seasonalities through wavelet multi-scaling (2001)
- Percival, Donald B.; Walden, Andrew T.: Wavelet methods for time series analysis (2000)