NNS.cor.hd: NNS Co-Partial Moments Higher Dimension Correlation

Description Usage Arguments Value Author(s) References Examples

View source: R/Co_PM_cor.R

Description

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

Usage

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NNS.cor.hd(x, plot = FALSE, independence.overlay = FALSE)

Arguments

x

a numeric matrix or data frame.

plot

logical; FALSE (default) Generates a 3d scatter plot with regression points using plot3d.

independence.overlay

logical; FALSE (default) Creates and overlays independent Co.LPM and Co.UPM regions to visually reference the difference in dependence from the data.frame of variables being analyzed. Under independence, the light green and red shaded areas would be occupied by green and red data points respectively.

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(1000) ; y <- rnorm(1000) ; z <- rnorm(1000)
A <- data.frame(x, y, z)
NNS.cor.hd(A, plot = TRUE, independence.overlay = TRUE)

NNS documentation built on April 15, 2019, 5:05 p.m.