Cross-Wavelet Transform
The cross-wavelet transform (XWT) is a bivariate extension of the continuous wavelet transform that measures the joint time-frequency representation of two signals. Introduced by Torrence and Compo (1998) and applied extensively by Grinsted, Moore, and Jevrejeva (2004) to geophysical data, XWT reveals where two signals share common spectral power and the phase relationship between them at each time-frequency point. This is the natural generalization of classical cross-spectral analysis to the time-varying domain.
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- Torrence, C., & Compo, G. P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological Society, 79(1), 61–78. · DOI 10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2
- Torrence, C., & Webster, P. J. (1999). Interdecadal changes in the ENSO–monsoon system. Journal of Climate, 12(8), 2679–2690. · DOI 10.1175/1520-0442(1999)012<2679:icitem>2.0.co;2
- Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004). Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics, 11(5–6), 561–566. · DOI 10.5194/npg-11-561-2004
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