Auxiliary routine for plotting wave multiple cross-correlations

Produces a plot of wave multiple cross-correlations.

plot_wave.multiple.cross.correlation(Lst, lmax, by=3)

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.

Details

The routine produces a set of plots of wave multiple cross-correlations, one per wavelet level, with their confidence intervals. Also, at each wavelet level, the name of the variable that maximizes its multiple cross-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>