Package: timevarcorr 0.1.1.9000
timevarcorr: Time Varying Correlation
Computes how the correlation between 2 time-series changes over time. To do so, the package follows the method from Choi & Shin (2021) <doi:10.1007/s42952-020-00073-6>. It performs a non-parametric kernel smoothing (using a common bandwidth) of all underlying components required for the computation of a correlation coefficient (i.e., x, y, x^2, y^2, xy). An automatic selection procedure for the bandwidth parameter is implemented. Alternative kernels can be used (Epanechnikov, box and normal). Both Pearson and Spearman correlation coefficients can be estimated and change in correlation over time can be tested.
Authors:
timevarcorr_0.1.1.9000.tar.gz
timevarcorr_0.1.1.9000.zip(r-4.5)timevarcorr_0.1.1.9000.zip(r-4.4)timevarcorr_0.1.1.9000.zip(r-4.3)
timevarcorr_0.1.1.9000.tgz(r-4.4-any)timevarcorr_0.1.1.9000.tgz(r-4.3-any)
timevarcorr_0.1.1.9000.tar.gz(r-4.5-noble)timevarcorr_0.1.1.9000.tar.gz(r-4.4-noble)
timevarcorr_0.1.1.9000.tgz(r-4.4-emscripten)timevarcorr_0.1.1.9000.tgz(r-4.3-emscripten)
timevarcorr.pdf |timevarcorr.html✨
timevarcorr/json (API)
NEWS
| # Install 'timevarcorr' in R: |
| install.packages('timevarcorr', repos = c('https://courtiol.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/courtiol/timevarcorr/issues
- stockprice - Daily Closing Prices of Major European Stock Indices, April 2000-December 2017
Last updated 1 years agofrom:074663dbd8. Checks:OK: 3 NOTE: 4. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 08 2024 |
| R-4.5-win | OK | Nov 08 2024 |
| R-4.5-linux | OK | Nov 08 2024 |
| R-4.4-win | NOTE | Nov 08 2024 |
| R-4.4-mac | NOTE | Nov 08 2024 |
| R-4.3-win | NOTE | Nov 08 2024 |
| R-4.3-mac | NOTE | Nov 08 2024 |
Exports:calc_Dcalc_ecalc_Gammacalc_GammaINFcalc_Hcalc_L_Andcalc_rhocalc_RMSEcalc_SEin_pkgdownkern_smoothselect_htcortest_equalitytest_ref
Dependencies:lpridge
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Display welcome message | .onAttach |
| Internal functions for the computation of confidence intervals | calc_D calc_e calc_Gamma calc_GammaINF calc_H calc_L_And calc_SE CI |
| Determine if the package is being used by pkgdown | in_pkgdown |
| Smoothing by kernel regression | kern_smooth |
| Daily Closing Prices of Major European Stock Indices, April 2000-December 2017 | stockprice |
| Compute time varying correlation coefficients | calc_rho calc_RMSE select_h tcor |
| Compute equality test between correlation coefficient estimates at two time points | test_equality |
| Test difference between correlation coefficient estimates and a value of reference | test_ref |
