wavemulcor: Wavelet Routines for Global and Local Multiple Regression and Correlation
Javier Fernández-Macho · 2012
Wavelet routines that calculate single sets of wavelet multiple regressions and correlations, and cross-regressions and cross-correlations from a multivariate time series. Dynamic versions of the routines allow the wavelet local multiple (cross-)regressions and (cross-)correlations to evolve over time.