syntheticdata: Synthetic data set to exemplify the use of the functions...

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

Synthetic data set to exemplify the use of the functions contained in NonParRolCor

Description

The data set syntheticdata contains three columns: the first one are the “times” (from 1 to 500) (named “Times”), the second (named “X”) and the third (named “Y”) columns were generated by a bi-variate AR1 process with similar autocorrelation coefficients of 0.25. We generate two correlated bi-variate AR1 time series with positive (direct) correlation (0.85) for the first 250 elements and with negative (inverse) correlation (-0.85) for the last 250 elements (Polanco-Martínez and López-Martínez 2021).

Usage

data(syntheticdata)

Format

One file in ASCII format containing three columns and 500 rows, columns are separated by spaces.

Source

Author's own production (Josué M. Polanco-Martínez) based on: mpiktas (<URL: https://stats.stackexchange.com/users/2116/mpiktas/>). How to simulate two correlated AR(1) time series?, Cross Validated. (2013). <URL: https://stats.stackexchange.com/q/71831/> (version: 2013-10-03).

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>.

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