wavemulcor-packageR Documentation

Wavelet routine for multiple correlation

Description

Produces an estimate of the multiscale multiple correlation (as defined below) along with approximate confidence intervals.

Details

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.

Note

Dependencies: waveslim

Author(s)

Javier Fernández-Macho (UPV/EHU)
Maintainer: Javier Fernández-Macho <javier.fernandezmacho@ehu.es>

References

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.