| wavemulcor-package | R Documentation |
Produces an estimate of the multiscale multiple correlation (as defined below) along with approximate confidence intervals.
| Package: | wavemulcor |
| Type: | Package |
| Version: | 1.2 |
| Date: | 2011-02-13 |
| License: | GPL (>= 2) |
| LazyLoad: | yes |
The wavemulcor package contains two routines, wave.multiple.correlation and
wave.multiple.cross.correlation,
that calculate single sets of, respectively, wavelet multiple correlations and wavelet multiple cross-correlations out of n variables. They can later be plotted in single graphs, as an alternative to trying to make sense out of n(n-1)/2 sets of wavelet correlations or n(n-1)/2 x J sets of wavelet cross-correlations. The code is based on the calculation, at each wavelet scale, of the square root of the coefficient of determination in a linear combination of variables for which such coefficient of determination is a maximum.
Dependencies: waveslim
Javier Fernández-Macho (UPV/EHU)
Maintainer: Javier Fernández-Macho <javier.fernandezmacho@ehu.es>
Fernández-Macho, Javier (2011) The wavelet multiple correlation, (mimeo).
Gencay, R., F. Selcuk and B. Whitcher (2001) An Introduction to Wavelets and Other Filtering
Methods in Finance and Economics, Academic Press.
Whitcher, B. (2010) ‘waveslim’ R Package.