This function provides an empirical estimate of the wavelet cross-covariance given multiple processes.
wccv_local(Xt)A matrix of dimension T by p, where T is the length of the time series and p is the number of processes.
A list with the following structure:
wccv: A matrix of the estimated wavelet cross-covariance.
wccv.cov: A matrix of the estimated covariance matrix of the estimated wavelet cross-covariance.
ci_low: A matrix of the lower bound of the confidence interval of the estimated wavelet cross-covariance.
ci_high: A matrix of the upper bound of the confidence interval of the estimated wavelet cross-covariance.