rhodcca.SlidingWindows: Detrended Cross-Correlation Coefficient with sliding windows.

In SlidingWindows: Methods for Time Series Analysis

Description

This function generates Detrended Cross-Correlation Coefficient of two time series with sliding windows approach.

Usage

rhodcca.SlidingWindows(x, y, w = 98, k = 10, nu = 0)

Arguments

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.
nu	An integer value. See DCCA package.

Details

This function include following measures:

w, timescale, rhodcca

Value

A list containing "w", "timescale", "rhodcca".

References

GUEDES, E.F.; ZEBENDE, G.F. DCCA cross-correlation coefficient with sliding windows approach. PHYSICA A, v.527, p.121286, 2019. doi="doi.org/10.1016/j.physa.2010.10.022".

ZEBENDE, G.F. DCCA cross-correlation coefficient: Quantifying level of cross-correlation, Physica A, v. 390, n. 4, p. 614-618, 2011. doi="doi.org/10.1016/j.physa.2019.121286".

Examples

x <- rnorm(100)
y <- rnorm(100)
rhodcca.SlidingWindows(x,y,w=99,k=10,nu=0)

SlidingWindows documentation built on April 11, 2021, 9:07 a.m.