wccv_local: Empirical Wavelet Cross-Covariance
In Yuming-Zhang/synimu: Scale-wise Variance Optimization

wccv_local

R Documentation

Empirical Wavelet Cross-Covariance

This function provides an empirical estimate of the wavelet cross-covariance given multiple processes.

wccv_local(Xt)

`Xt`	A `matrix` of dimension T by p, where T is the length of the time series and p is the number of processes.

A list with the following structure:

wccv: A matrix of the estimated wavelet cross-covariance.
wccv.cov: A matrix of the estimated covariance matrix of the estimated wavelet cross-covariance.
ci_low: A matrix of the lower bound of the confidence interval of the estimated wavelet cross-covariance.
ci_high: A matrix of the upper bound of the confidence interval of the estimated wavelet cross-covariance.