Wavelet Coherence
Wavelet coherence (WTC) is a normalized measure of correlation between two time series in the time-frequency domain, eliminating the amplitude-dependence of the raw cross-wavelet transform. Introduced by Torrence and Webster (1999) and formalized by Grinsted, Moore, and Jevrejeva (2004), WTC quantifies how tightly two signals are coupled at each time-frequency point, independent of their individual power levels. It is the wavelet analog of classical spectral coherence, revealing time-localized relationships across all frequencies.
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- 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
- Maraun, D., Kurths, J., & Holschneider, M. (2007). Nonstationary Gaussian processes in wavelet domain: synthesis, estimation, and significance testing. Physical Review E, 75(1), 016707. · DOI 10.1103/PhysRevE.75.016707
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