A Matlab toolbox for performing cross wavelet and wavelet coherence analysis and is free for non-profit use.
Our paper describes the theory behind cross wavelet and wavelet coherence, starting from the basics of the Continuous Wavelet Transform: "Application of the cross wavelet transform and wavelet coherence to geophysical time series"
References
Grinsted, A., Moore, J.C., Jevrejeva, S. (2004) Application of the cross wavelet transform and wavelet coherence to geophysical time series, Nonlin. Processes Geophys., 11, 561–566, doi:10.5194/npg-11-561-2004 [pdf]
Jevrejeva, S., Moore, J.C., Grinsted, A. (2003) Influence of the Arctic Oscillation and El Niño-Southern Oscillation (ENSO) on ice conditions in the Baltic Sea: The wavelet approach, J. Geophys. Res., 108(D21), 4677, doi:10.1029/2003JD003417 [pdf]
Torrence, C., Compo, G.P. (1998) A practical guide to wavelet analysis, Bull. Am. Meteorol. Soc., 79, 61–78
Torrence, C., Webster, P. (1999) Interdecadal changes in the ESNO-Monsoon System, J.Clim., 12, 2679–2690
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