Description Usage Arguments Details Value References Examples
View source: R/dmca_SlidingWindows.R
This function generates Detrending moving-average cross-correlation coefficient of two time series with sliding windows approach.
1 | dmca.SlidingWindows(x, y, w = 98, k = 10)
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x |
A vector containing univariate time series. |
y |
A vector containing univariate time series. |
w |
An integer value indicating the window size w < length(y). If w = length(y), will be computed the function will not slide. |
k |
An integer value indicating the boundary of the division (N/k). The smallest value of k is 4. |
This function include following measures: w, timescale, dmca
A list containing "w", "timescale", "dmca".
KRISTOUFEK, L. Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series. PHYSICA A, v.406, p.169-175, 2014. doi="doi.org/10.1016/j.physa.2014.03.015".
1 2 3 | x <- rnorm(100)
y <- rnorm(100)
dmca.SlidingWindows(x,y,w=99,k=10)
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