costat (version 1.1-1)

CrossWP: Compute raw cross wavelet periodogram (not intended for casual use)

Description

Computes the raw cross wavelet periodogram for two time series.

Usage

CrossWP(xwdS, ywdS)

Arguments

xwdS

The time-ordered nondecimated wavelet transform of one time series, x

ywdS

The time-ordered nondecimated wavelet transform of another time series, y

Value

• A time-ordered nondecimated wavelet transform object containing the raw cross wavelet periodogram of two time series.

Details

Just the component-wise product of the two nondecimated transforms of two time series. Formula is given by definition 3 in Cardinali and Nason (2008).

References

`Costationary and stationarity tests for stock index returns' by Car dinali and Nason

See Also

ewcrossspec

Examples

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# See code of ewcrossspec to see how this function is called.
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