Cross Covariance of a TS Pair

Calculates the Cross-covariance between two wavelet transfomations (dwt or modwt)

wccv_pair(x, y, decomp = "modwt", filter = "haar", nlevels = NULL)

Arguments

x	A `vector` with dimensions N x 1.
y	A `vector` with dimensions N x 1.
decomp	A `string` that indicates whether to use the "dwt" or "modwt" decomposition.
filter	A `string` that specifies what wavelet filter to use.
nlevels	An `integer` that indicates the level of decomposition. It must be less than or equal to floor(log2(length(x))).

Returns a list of a matrix containing cross-covariance, variance of each wavelet cross-covariance and its 95

If nlevels is not specified, it is set to \(\left\lfloor {{{\log }_2}\left( {length\left( x \right)} \right)} \right\rfloor\)