wave_cov

A series of files that perform univariate and bivariate wavelet analysis of discrete time series.

A series of .c and .m files which allow one to perform univariate and bivariate wavelet analysis of discrete time series. Noother wavelet package is necessary -- everything is contained in this archive. The C-code computes the DWT and maximal overlap DWT. MATLAB routines are then used to compute such quantities as the wavelet variance, covariance, correlation, cross-covariance and cross-correlation. Approximate confidence intervals are available for all quantities except the cross-covariance and cross-correlation.

A set of commands is provided. For a description of this example, please see http://www.eurandom.tue.nl/whitcher/software/.