estimation_heatmap: Estimates the rolling window correlation coefficients for...

In NonParRolCor: a Non-Parametric Statistical Significance Test for Rolling Window Correlation

Estimates the rolling window correlation coefficients for several window-lengths and their statistical significance

Description

The rolcor_estim_heatmap function estimates the rolling window correlation coefficients for all the possible window-lengths (time-scales) or for a band of window-lengths for two time series sampled on identical time points, and their statistical significance via a non-parametric computing-intensive method. To carry out the computational implementation we extend the works of Telford (2013), Polanco-Martínez (2019) and Polanco-Martínez (2020). The test/method to determine the statistical significance is described in Polanco-Martínez and López-Martínez (2021). The
rolcor_estim_heatmap function is highly flexible since this contains several parameters to control the estimation of the correlation. A list of parameters are described in the following lines.

Usage

rolcor_estim_heatmap(inputdata, CorMethod="pearson", typewidthwin="FULL", 
                     widthwin_1=3, widthwin_N=dim(inputdata)[1], Align="center", 
                     rmltrd=TRUE, Scale=TRUE, MCSim=1000, prob=0.95, Np=2) 

Arguments

inputdata	A matrix of 3 columns: time (regular/evenly spaced), the first (e.g., the independent) variable, and the second (e.g., the dependent) variable. Please verify if inputdata is a matrix.
CorMethod	The method used to estimate the correlations, by default is “pearson”, but other options (“spearman” and “kendall”) are available (please look at: R>?cor.test).
typewidthwin	“FULL” is to estimate the windows from 2, 4, ..., to dim(inputdata)[1]) if Align is equal to “left” or “right”, or from 3, 5,..., to dim(inputdata)[1]) if Align is “center.” The other option is “PARTIAL”, please you should take into account that widthwin_1 and widthwin_1 MUST be ODD if the Align option is “center.”
widthwin_1	First value for the size (length) of the windows when the option typewidthwin=“PARTIAL” is selected, the minimum value is 3 (the default value), but you must define this parameter (please note that widthwin_1 < widthwin_N).
widthwin_N	Last value for the size (length) of the windows when the option typewidthwin=“PARTIAL” is selected, by default is dim(inputdata)[1], but you must define this parameter (please note that widthwin_1 < widthwin_N).
Align	To align the rolling object, NonParRolCor uses three options: “left”, “center”, and “right” (please look at: R>?running). However, there are some restrictions, which have been described lines above. We recommend to use the “center” option to ensure that variations in the correlations are aligned with the variations in the relationships of the variables under study, rather than being shifted to left or to right (Polanco-Martínez 2019, 2020), but this imply that the window-lengths must be odd.
rmltrd	Remove (by default is “TRUE”; “FALSE” otherwise) the linear trend in the variables under analysis. It is advisable to remove (at least the linear) the trend before estimating the rolling window correlation coefficients, especially, for large window-lengths.
Scale	Scale (by default is “TRUE”; “FALSE” otherwise) is used to “normalize” or “standardize” the variables under analysis. It is highly advisable to ”normalize/standardize” the time series under study to have them in the same scales.
MCSim	Number of Monte-Carlo simulations to permute the second variable. It is advisable to use at least 1000 simulations.
prob	Numeric vector of probabilities with values in the interval [0,1], by default prob=0.95 (p=0.05), please look at R?quantile, Telford (2013), or Polanco-Martínez and López-Martínez (2021) for more information.
Np	Number of CPU cores, by default is 2. Please verify the number of cores of your computer. WARNING: it is not advisable to use the maximum number of cores of your computer.

Details

The rolcor_estim_heatmap function estimates the rolling window correlation coefficients and their statistical significance between two time series sampled on identical time points for all the possible window-lengths or for a band of window-lengths. This function supersedes to the function estimation_NonParRolCor of the previous version of NonParRolCor. The function
rolcor_estim_heatmap uses the functions cor.test (package:stats) and running (package:gtools) to estimate the correlation coefficients and compute the rolling window correlations, and also the functions foreach (package:foreach) and makeCluster (package:parallel) to parallelize the estimation of the rolling window correlations.

Value

Outputs: A list containing eight elements: the_matrixCOR and CRITVAL contain the rolling window correlation coefficients and their respective critical values, nwin and Rwidthwin contain the number of window-lengths (time-scales) and the window-lengths, left_win and righ_win are used to accommodate the times of the rolling window correlation coefficients, finally MCSim indicates the number of Monte-Carlo simulations and prob the significance level.

Author(s)

Josué M. Polanco-Martínez (a.k.a. jomopo).
Excellence Unit GECOS, IME, Universidad de Salamanca, Salamanca, SPAIN.
BC3 - Basque Centre for Climate Change, Leioa, SPAIN.
Web1: https://scholar.google.es/citations?user=8djLIhcAAAAJ&hl=en/.
Web2: https://www.researchgate.net/profile/Josue-Polanco-Martinez/.
Email: [e-mail].
José L. López-Martínez.
Faculty of Mathematics, Universidad Autónoma de Yucatán (UADY), Tizimín, MEXICO.
Web1: https://scholar.google.es/citations?user=552PKVEAAAAJ&hl=es/.
Web2: https://www.researchgate.net/profile/Jose-Lopez-Martinez-3/.
Email: [e-mail].

References

Polanco-Martínez, J. M. and López-Martínez, J.M. (2021). A non-parametric method to test the statistical significance in rolling window correlations, and applications to ecological time series. Ecological Informatics 60, 101379. <URL: doi: 10.1016/j.ecoinf.2021.101379>.

Polanco-Martínez, J. M. (2020). NonParRolCor: an R package for estimating rolling window multiple correlation in ecological time series. Ecological Informatics, 60, 101163. <URL: doi: 10.1016/j.ecoinf.2020.101163>.

Polanco-Martínez, J. M. (2019). Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods. Nonlinear Dynamics, 97(1), 369-389. <URL: doi: 10.1007/s11071-019-04974-y>.

Telford, R.: Running correlations – running into problems. (2013). <URL:
https://quantpalaeo.wordpress.com/2013/01/04/>.

Examples

 # Code to test the function "rolcor_estim_heatmap"
 # Defining the 'NonParRolCor' parameters 
 TYPEWIDTHWIN="PARTIAL"
 # Number of Monte-Carlo simulations (MCSim), please use at least 1000. 
 # WARNING: MCSim=2, it's just to test this example! 
 MCSim <- 2 
 Np    <- 2  # Number of cores 
 X_Y <- rolcor_estim_heatmap(syntheticdata[1:350,], CorMethod="pearson", 
                   typewidthwin=TYPEWIDTHWIN, widthwin_1=29, 
                   widthwin_N=51, Align="center", 
                   rmltrd=TRUE, Scale=TRUE, MCSim=MCSim, Np=Np)
 

NonParRolCor documentation built on Oct. 31, 2022, 1:06 a.m.