heatmap_wave.multiple.cross.correlation: Auxiliary routine for heatmaping wave multiple...

In wavemulcor: Wavelet Routines for Global and Local Multiple Regression and Correlation

Description

Produces heatmaps of wave multiple cross-correlations.

Usage

heatmap_wave.multiple.cross.correlation(Lst, lmax, by=3, ci=NULL, pdf.write=NULL)

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.
ci	value to plot: "center" value of confidence interval (i.e. the estimated cross-correlation), the "lower" bound, or the "upper" bound. Default is "center".
pdf.write	Optional name leader to save files to pdf format. The actual name of the file is either "heat_<pdf.write>_WLMCC_lags.pdf" or, "heat_<pdf.write>_WLMCC_levels.pdf".

Details

The routine produces a set of time series vs. wavelet periods heatmaps of wave local multiple cross-correlations at different lags and leads.

Value

Heat map.

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>

wavemulcor documentation built on Sept. 5, 2021, 5:56 p.m.