NNS.dep: NNS Dependence

Description Usage Arguments Value Note Author(s) References Examples

View source: R/Dependence.R

Description

Returns the dependence and nonlinear correlation between two variables based on higher order partial moment matrices measured by frequency or area.

Usage

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NNS.dep(x, y = NULL, asym = FALSE, p.value = FALSE, print.map = FALSE)

Arguments

x

a numeric vector, matrix or data frame.

y

NULL (default) or a numeric vector with compatible dimensions to x.

asym

logical; FALSE (default) Allows for asymmetrical dependencies.

p.value

logical; FALSE (default) Generates 100 independent random permutations to test results against and plots 95 percent confidence intervals along with all results.

print.map

logical; FALSE (default) Plots quadrant means, or p-value replicates.

Value

Returns the bi-variate "Correlation" and "Dependence" or correlation / dependence matrix for matrix input.

Note

NNS.cor has been deprecated (NNS >= 0.5.4) and can be called via NNS.dep.

Author(s)

Fred Viole, OVVO Financial Systems

References

Viole, F. and Nawrocki, D. (2013) "Nonlinear Nonparametric Statistics: Using Partial Moments" https://www.amazon.com/dp/1490523995/ref=cm_sw_su_dp

Examples

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## Not run: 
set.seed(123)
x <- rnorm(100) ; y <- rnorm(100)
NNS.dep(x, y)

## Correlation / Dependence Matrix
x <- rnorm(100) ; y <- rnorm(100) ; z <- rnorm(100)
B <- cbind(x, y, z)
NNS.dep(B)

## End(Not run)

Example output

Loading required package: doParallel
Loading required package: foreach
Loading required package: iterators
Loading required package: parallel
Warning messages:
1: In rgl.init(initValue, onlyNULL) : RGL: unable to open X11 display
2: 'rgl.init' failed, running with 'rgl.useNULL = TRUE'. 
sh: 1: wc: Permission denied
$Correlation
[1] -0.1075353

$Dependence
[1] 0.4751691

sh: 1: wc: Permission denied
sh: 1: wc: Permission denied
sh: 1: wc: Permission denied
$Correlation
            x           y          z
x  1.00000000 -0.09882721 -0.1238790
y -0.09882721  1.00000000  0.2367368
z -0.12387899  0.23673684  1.0000000

$Dependence
          x         y         z
x 1.0000000 0.4240705 0.3113931
y 0.4240705 1.0000000 0.3699634
z 0.3113931 0.3699634 1.0000000

NNS documentation built on June 26, 2021, 1:07 a.m.