deltarhodcca.test: Statistical test for Statistical test for Delta RHODCCA...

In GMZTests: Statistical Tests

Description

This function performs the statistical test for Delta RHODCCA cross-correlation coefficient from two univariate ARFIMA process.

Usage

deltarhodcca.test(x, y, k, m, nu, rep)

Arguments

x	A vector containing univariate time series.
y	A vector containing univariate time series.
k	An integer value indicating the boundary of the division (N/k). The smallest value of k is 4.
m	an integer value or a vector of integer values indicating the size of the window for the polinomial fit.
nu	An integer value. See the DCCA package.
rep	An integer value indicating the number of repetitions.

Details

This function include following measures: timescale, rho_before, rho_affter, deltarho

Value

An list containing "timescale", "mean", "sd", "rho_before", "rho_affter", "deltarho", "CI_0.90", "CI_0.95", "CI_0.99".

References

Guedes, et al. Statistical test for DCCA cross-correlation coefficient, Physica A, v.501, 134-140, 2018.

Guedes, et al. Statistical test for DCCA: Methods and data, Data in Brief, v. 18, 795-798, 2018.

Examples

x <- rnorm(1000)
y <-  rnorm(1000)
deltarhodcca.test(x,y,k=100,m=c(4:6),nu=0,rep=10)

GMZTests documentation built on March 18, 2021, 5:08 p.m.