www.gusucode.com > wavelet 源码程序 matlab案例代码 > wavelet/DMUSDExchangeRatesByScaleExample.m
%% Correlation by Scale % Find the correlation by scale for monthly DM-USD exhange rate returns % from 1970 to 1998. The return data are log transformed. Use the % Daubechies wavelet with two vanishing moments ('db2') to obtain the % MODWT down to level 6. Then, obtain the correlation data. % Copyright 2015 The MathWorks, Inc. load DM_USD; load JY_USD; wdm = modwt(DM_USD,'db2',6); wjy = modwt(JY_USD,'db2',6); wcorr = modwtcorr(wdm,wjy,'db2') %% % |wcorr| contains seven elements. The first six elements are the % correlation coefficients for the wavelet (detail) levels one to six. The % final element is the correlation for the scaling (lowpass) level six.