www.gusucode.com > wavelet 源码程序 matlab案例代码 > wavelet/PvaluesForCorrelationExample.m
%% _P_-values for Correlation % Return _p_-values for the test of zero % correlation by scale. Obtain the MODWT of the DM-USD and JY-USD exchange % return data down to level six using the Daubechies wavelet with two % degrees of freedom ('db2') wavelet. Compute the correlation by scale and % return the _p_-values. % Copyright 2015 The MathWorks, Inc. load DM_USD; load JY_USD; wdm = modwt(DM_USD,'db2',6); wjy = modwt(JY_USD,'db2',6); [wcorr,wcorrci,pval] = modwtcorr(wdm,wjy,'db2'); format longe pval format %% % The first column contains the _p_-value and the second column contains % the adjusted _p_-value based on the false discovery rate.