wccv_pair {wv}

Cross Covariance of a TS Pair

Description

Calculates the Cross-covariance between two wavelet transfomations (dwt or modwt)

Usage

wccv_pair(x, y, decomp = "modwt", filter = "haar", nlevels = NULL)

Arguments

x

A vector with dimensions N x 1.

y

A vector with dimensions N x 1.

decomp

A string that indicates whether to use the "dwt" or "modwt" decomposition.

filter

A string that specifies what wavelet filter to use.

nlevels

An integer that indicates the level of decomposition. It must be less than or equal to floor(log2(length(x))).

Details

If nlevels is not specified, it is set to \left\lfloor {{{\log }_2}\left( {length\left( x \right)} \right)} \right\rfloor

Value

Returns a list of a matrix containing cross-covariance, variance of each wavelet cross-covariance and its 95

Author(s)

Justin Lee