Correlation Scalogram with stock and climate

[breckjensen]

Correlation function is a useful tool to find relation between time series, but it gives just a single number. Imagine you have 2 time series correlated at the first half of their duration and anti-correlated a the other half. Correlation would return zero as a measure of their relation, which is due to lack of correlation information for timescales smaller than full duration. It is like Fourier analysis would lack same type of info relative to wavelets. I often wanted to have a visualization tool analogical to various types of scalograms that would show correlation on all time scales.

For More Details

famous advertisements