Produces a plot of wave multiple cross-correlations.
plot_wave.multiple.cross.correlation(Lst, lmax, by=3)A list from wave.multiple.cross.regression or wave.multiple.cross.correlation.
maximum lag (and lead).
labels are printed every lmax/by. Default is 3.
Plot.
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.
Fern<U+00E1>ndez-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>