| plot_wave.multiple.cross.correlation {wavemulcor} | R Documentation |
Auxiliary routine for plotting wave multiple cross-correlations
Description
Produces a plot of wave multiple cross-correlations.
Usage
plot_wave.multiple.cross.correlation(Lst, lmax, by=3)
Arguments
Lst |
A list from wave.multiple.cross.regression or wave.multiple.cross.correlation. |
lmax |
maximum lag (and lead). |
by |
labels are printed every lmax/by. Default is 3. |
Details
The routine produces a set of plots of wave multiple cross-correlations, one per wavelet level, with their confidence intervals. Also, at each wavelet level, the name of the variable that maximizes its multiple cross-correlation against the rest is shown.
Value
Plot.
Author(s)
Javier Fernández-Macho, Dpt. of Quantitative Methods, University of the Basque Country, Agirre Lehendakari etorb. 83, E48015 BILBAO, Spain. (email: javier.fernandezmacho at ehu.eus).
References
Fernández-Macho, J., 2012. Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets. Physica A: Statistical Mechanics and its Applications 391, 1097–1104. <DOI:10.1016/j.physa.2011.11.002>