This is the new home of our widely used wavelet coherence toolbox for MATLAB. The source can be found on github and you can download the package here: [DOWNLOAD].
TheoryOur paper describes the theory behind cross wavelet and wavelet coherence, starting from the basics of the Continuous Wavelet Transform. See Grinsted et al. (2004) and references therein.
Grinsted, A., J. C. Moore, S. Jevrejeva (2004), Application of the cross wavelet transform and wavelet coherence to geophysical time series, Nonlin. Process. Geophys., 11, 561566 [link]
Figure caption: Wavelet coherence between the winter Arctic Oscillation index and the sea ice extent in the Baltic. Arrows show the phase relationship between the two series. Here the arrows point left which means that BMI is in anti-phase with AO. Light shading shows region influenced by edge effects.
The wavelet coherence toolbox is extremely easy to use. The above figure was created simply by calling:
where AO and BMI are the two time series.