Auxiliary routine for plotting wave multiple correlations

Produces a plot of wave multiple correlations.

plot_wave.multiple.correlation(Lst)

Arguments

Lst	A list from wave.multiple.regression or wave.multiple.correlation.

Details

The routine produces a plot of wave multiple correlations, at each wavelet level, with its confidence interval. Also, at each wavelet level, the name of the variable that maximizes its multiple correlation against the rest is shown.

Value

Plot.

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>