Package W2CWM2C: Description, Features, and Applications

Author

Polanco-Martinez, Josue M. ; Fernandez-Macho, F. Javier

Volume

16

Issue

6

fYear

2014

fDate

Nov.-Dec. 2014

Firstpage

68

Lastpage

78

Abstract

This article describes new graphical tools that help with the interpretation of wavelet correlation and cross-correlation analysis, in both bivariate and multivariate cases. The authors have created an R package called W2CWM2C with the following main functions: wavelet (cross) correlation and wavelet multiple (cross) correlation. To illustrate its strengths, they use data from several European Union stock market indices, comparing the new graphical output with the classical plots.

Keywords

software packages; software tools; stock markets; European Union stock market indices; bivariate cases; cross-correlation analysis; graphical tools; multivariate cases; package W2CWM2C; wavelet multiple correlation; Computer applications; Continuous wavelet transforms; Correlation; Discrete wavelet transforms; Time series analysis; Wavelet analysis; maximal overlap discrete wavelet transform; scientific computing; wavalet cross-correlation; wavelet correlation; wavelet multiple correlation; wavelet multiple cross-correlation;

fLanguage

English

Journal_Title

Computing in Science & Engineering

Publisher

ieee

ISSN

1521-9615

Type

jour

DOI

10.1109/MCSE.2014.96

Filename

6894486