R: Time-varying and Seasonal Analysis Using Hilbert Wavelet...

HWP Analysis {waveslim} | R Documentation

## Time-varying and Seasonal Analysis Using Hilbert Wavelet Pairs

### Description

Performs time-varying or seasonal coherence and phase anlaysis between two time seris using the maximal-overlap discrete Hilbert wavelet transform (MODHWT).

### Usage

    modhwt.coh(x, y, f.length = 0)
    modhwt.phase(x, y, f.length = 0)
    modhwt.coh.seasonal(x, y, S = 10, season = 365)
    modhwt.phase.seasonal(x, y, season = 365)

### Arguments

`x` | MODHWT object.
`y` | MODHWT object.
`f.length` | Length of the rectangular filter.
`S` | Number of "seasons".
`season` | Length of the "season".

### Details

The idea of seasonally-varying spectral analysis (SVSA, Madden 1986) is generalized using the MODWT and Hilbert wavelet pairs. For the seasonal case, S seasons are used to produce a consistent estimate of the coherence and phase. For the non-seasonal case, a simple rectangular (moving-average) filter is applied to the MODHWT coefficients in order to produce consistent estimates.

### Value

Time-varying or seasonal coherence and phase between two time series. The coherence estimates are between zero and one, while the phase estimates are between -pi and pi.

### Author(s)

B. Whitcher

### References

Madden, R.A. (1986). Seasonal variation of the 40–50 day oscillation in the tropics. Journal of the Atmospheric Sciences\/ 43\/(24), 3138–3158.

Whither, B. and P.F. Craigmile (2004). Multivariate Spectral Analysis Using Hilbert Wavelet Pairs, International Journal of Wavelets, Multiresolution and Information Processing, to appear.

### See Also

`hilbert.filter`

[Package waveslim version 1.8.3 Index]