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.
2018-06-08 Version 2.2.1 released. Version 2.2 incorporates an auxiliary function local.multiple.correlation.R that calculates local multiple correlations (LMC). They are calculated by letting move along time a window of weighted time series values around t. Any of the six weight functions mentioned in previous releases can be used.