Cort: Temporal correlation coefficient

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

Temporal correlation coefficient

Description

Return the temporal correlations of two time series by first taking the lag one differences of each series and the computing the correlation coefficient.

Usage

Cort(S1, S2)

Arguments

S1	A vector representing a univariate time series
S2	A second vector representing a univariate time series

Value

A coefficient in the interval [-1,1] representing the lag 1 correlation

See Also

Douzal-Chouakria, Ahlame, and Cecile Amblard. "Classification Trees for Time Series." Pattern Recognition 45, no. 3 (March 2012): 1076-91. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.patcog.2011.08.018")}

Examples

S1=rnorm(100)
S2=rnorm(100)
Cort(S1, S2)

AnomalyScore documentation built on April 4, 2025, 3:13 a.m.