W2CWM2C-package: The W2CWM2C package is a set of functions that improves the
graphical presentations of the functions 'wave.correlation' and
'spin.correlation' (wavelet cross correlation) (Waveslim package)
and the 'wave.multiple.correlation' and
'wave.multiple.cross.correlation' (Wavemulcor package).
Description
The W2CWM2C package improves the plots of the Wavelet (Cross)
Correlation (bivariate case) from the waveleslim package
(Whitcher 2012) and the Wavelet Multiple (Cross) Correlation
(multivariate case) from the wavemulcor package (Fernandez-Macho
2012). The W2CWM2C package also helps to handle the (input data)
multivariate time series easily as a list of N elements (times series)
and provides a multivariate data set (dataexample) to exemplify its use.Details
ll{
Package: W2CWM2C
Type: Package
Version: 1.0
Date: 2012-10-15
License: GPL (>= 2)
LazyLoad: yes
}
The W2CWM2C package contains four functions: the WC (that
perform and plot the Wavelet correlation, bivariate case), the
WCC (that perform and plot the Wavelet Cross Correlation,
bivariate case), the WMC (that perform and plot the Wavelet
Multiple Correlation, multivariate case) and the WMCC (that
perform and plot the Wavelet Multiple Cross Correlation,
multivariate case).References
Fernandez-Macho, J.. Wavelet multiple correlation and
cross-correlation: A multiscale analysis of euro zone stock
markets. Physica A: Statistical Mechanics and its Applications,
391(4):1097-1104, 2012.
Fernandez-Macho, J. (2012). Wavemulcor Reference manual. The
Comprehensive R Archive Network (CRAN), http://cran.r-
project.org/web/packages/wavemulcor/index.html
Gencay, R., F. Selcuk and B. Whitcher (2001) An
Introduction to Wavelets and Other Filtering Methods in Finance
and Economics, Academic Press.
Polanco-Martinez, J. and J. Fernandez-Macho (2012). An empirical
analysis of some peripheral EU stock market indices: A Wavelet
cross-correlation approach. Under review Physica A:
Statistical Mechanics and its Applications. (Manuscript Number:
PHYSA-12867).
Polanco-Martinez, J. and J. Fernandez-Macho (2012). The
package 'W2CWM2C': description, features and applications. To
be submitted under review to Journal of Statistical
Software.
Whitcher, B., P. Guttorp, and D.B. Percival. Wavelet analysis of
covariance with application to atmospheric time series. Journal of Geophysical Research - Atmospheres, 105(D11):941-962, 2000.
Whitcher, B. (2012). Waveslim reference manual. The
Comprehensive R Archive Network (CRAN),
http://cran.r-project.org/web/packages/waveslim/index.html