wave.multiple.correlation {wavemulcor} | R Documentation |
Wavelet routine for multiple correlation
Description
Produces an estimate of the multiscale multiple correlation (as defined below) along with approximate confidence intervals.
Usage
wave.multiple.correlation(xx, N, p = 0.975, ymaxr=NULL)
Arguments
xx |
A list of |
N |
length of the time series |
p |
one minus the two-sided p-value for the confidence interval, i.e. the cdf value. |
ymaxr |
index number of the variable whose correlation is calculated against a linear combination of the rest, otherwise at each wavelet level wmc chooses the one maximizing the multiple correlation. |
Details
The routine calculates one single set of wavelet multiple correlations out of n
variables
that can be plotted in a single graph, as an
alternative to trying to make sense out of n(n-1)/2
sets of wavelet correlations. The code is
based on the calculation, at each wavelet scale, of the square root of the coefficient of
determination in the 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); Gençay, Selçuk and Whitcher (2001) and others.
Value
List of two elements:
xy.mulcor: |
numeric matrix with as many rows as levels in the wavelet transform object. The first column provides the point estimate for the wavelet multiple correlation, followed by the lower and upper bounds from the confidence interval. |
YmaxR: |
numeric vector giving, at each wavelet level, the index number of the variable whose correlation is calculated against a linear combination of the rest. By default, wmc chooses at each wavelet level the variable maximizing the multiple correlation. |
Note
Needs waveslim package to calculate dwt or modwt coefficients as inputs to the routine (also for data in the example).
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>
Examples
## Based on data from Figure 7.8 in Gencay, Selcuk and Whitcher (2001)
## plus one random series.
library(wavemulcor)
data(exchange)
returns <- diff(log(as.matrix(exchange)))
returns <- ts(returns, start=1970, freq=12)
N <- dim(returns)[1]
wf <- "d4"
J <- trunc(log2(N))-3
demusd.modwt <- brick.wall(modwt(returns[,"DEM.USD"], wf, J), wf)
jpyusd.modwt <- brick.wall(modwt(returns[,"JPY.USD"], wf, J), wf)
rand.modwt <- brick.wall(modwt(rnorm(length(returns[,"DEM.USD"])), wf, J), wf)
xx <- list(demusd.modwt, jpyusd.modwt, rand.modwt)
Lst <- wave.multiple.correlation(xx, N = length(xx[[1]][[1]]))
returns.modwt.cor <- Lst$xy.mulcor[1:J,]
YmaxR <- Lst$YmaxR
exchange.names <- c("DEM.USD", "JPY.USD", "RAND")
##Producing plot
par(mfrow=c(1,1), las=0, mar=c(5,4,4,2)+.1)
matplot(2^(0:(J-1)), returns.modwt.cor[-(J+1),], type="b",
log="x", pch="*LU", xaxt="n", lty=1, col=c(1,4,4),
xlab="Wavelet Scale", ylab="Wavelet Multiple Correlation")
axis(side=1, at=2^(0:7))
abline(h=0)
text(2^(0:7), min(returns.modwt.cor[-(J+1),])-0.03,
labels=exchange.names[YmaxR], adj=0.5, cex=.5)