dCovTS: Distance Covariance and Correlation for Time Series Analysis

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Computing and plotting the distance covariance and correlation function of a univariate or a multivariate time series. Both versions of biased and unbiased estimators of distance covariance and correlation are provided. Test statistics for testing pairwise independence are also implemented. Some data sets are also included.

Author
Maria Pitsillou [aut, cre], Konstantinos Fokianos [aut]
Date of publication
2016-09-21 19:27:35
Maintainer
Maria Pitsillou <pitsillou.maria@ucy.ac.cy>
License
GPL (>= 2)
Version
1.1

View on CRAN

Man pages

ADCF
Auto-Distance Correlation Function
ADCFplot
Auto-distance correlation plot
ADCV
Auto-distance Covariance Function
dCovTS-package
Distance Covariance and Correlation theory in time series
ibmSp500
Monthly returns of IBM and S&P 500 composite index
kernelFun
Several kernel functions
mADCF
Auto-Distance Correlation Matrix
mADCFplot
Distance cross-correlation plot
mADCFtest
Distance Correlation test of independence in multivariate...
mADCV
Auto-Distance Covariance Matrix
mADCVtest
Distance covariance test of independence in multivariate time...
MortTempPart
Cardiovascular mortality, temperature and pollution data in...
UnivTest
Testing for independence in univariate time series

Files in this package

dCovTS
dCovTS/NAMESPACE
dCovTS/data
dCovTS/data/MortTempPart.rda
dCovTS/data/ibmSp500.rda
dCovTS/R
dCovTS/R/OrdinaryBoot.R
dCovTS/R/mOrdinaryBootCV.R
dCovTS/R/TstarBoot2.R
dCovTS/R/UnivTest.R
dCovTS/R/mRbootCV.R
dCovTS/R/mADCFplot.R
dCovTS/R/mADCF.R
dCovTS/R/kernelFun.R
dCovTS/R/mADCFtest.R
dCovTS/R/ADCF.R
dCovTS/R/RbootCV.R
dCovTS/R/SubsCV.R
dCovTS/R/mADCV.R
dCovTS/R/TstarBoot.R
dCovTS/R/ADCV.R
dCovTS/R/crossDist.R
dCovTS/R/mADCVtest.R
dCovTS/R/OrdinaryBootCV.R
dCovTS/R/ATilde.R
dCovTS/R/OrdinaryBoot1.R
dCovTS/R/ADCFplot.R
dCovTS/R/OrdinaryBoot2.R
dCovTS/R/TstarBoot1.R
dCovTS/MD5
dCovTS/DESCRIPTION
dCovTS/man
dCovTS/man/UnivTest.Rd
dCovTS/man/mADCFtest.Rd
dCovTS/man/ADCV.Rd
dCovTS/man/dCovTS-package.Rd
dCovTS/man/kernelFun.Rd
dCovTS/man/ADCF.Rd
dCovTS/man/MortTempPart.Rd
dCovTS/man/mADCF.Rd
dCovTS/man/ADCFplot.Rd
dCovTS/man/mADCVtest.Rd
dCovTS/man/mADCV.Rd
dCovTS/man/mADCFplot.Rd
dCovTS/man/ibmSp500.Rd