heatmap_wave.multiple.cross.correlation.RdProduces heatmaps of wave multiple cross-correlations.
heatmap_wave.multiple.cross.correlation(Lst, lmax, by=3, ci=NULL, pdf.write=NULL)
| 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". |
The routine produces a set of time series vs. wavelet periods heatmaps of wave local multiple cross-correlations at different lags and leads.
Heat map.
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>