Co-Partial Moments Higher Dimension Correlation

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Description

Determines higher dimension correlation coefficients based on degree 0 co-partial moments.

Usage

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Co.PM.cor(A)

Arguments

A

data.frame of variables.

Value

Returns multivariate nonlinear correlation coefficient

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. (2016) "Beyond Correlation: Using the Elements of Variance for Conditional Means and Probabilities" http://ssrn.com/abstract=2745308.

Examples

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set.seed(123)
x<-rnorm(100); y<-rnorm(100); z<-rnorm(100)
A<-data.frame(x,y,z)
Co.PM.cor(A)