test-correlationTest: Correlation Tests

Description Usage Arguments Details Value Note Author(s) References See Also Examples

Description

Tests if two series are correlated.

Usage

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correlationTest(x, y, method = c("pearson", "kendall", "spearman"), 
    title = NULL, description = NULL)
   

pearsonTest(x, y, title = NULL, description = NULL) 
kendallTest(x, y, title = NULL, description = NULL)
spearmanTest(x, y, title = NULL, description = NULL)

Arguments

x, y

numeric vectors of data values.

method

a character string naming which test should be applied.

title

an optional title string, if not specified the inputs data name is deparsed.

description

optional description string, or a vector of character strings.

Details

The function correlationTest tests for association between paired samples allowing to compute Pearson's product moment correlation coefficient, Kendall's tau, or Spearman's rho.

Value

In contrast to R's output report from S3 objects of class "htest" a different output report is produced. The classical tests presented here return an S4 object of class "fHTEST". The object contains the following slots:

@call

the function call.

@data

the data as specified by the input argument(s).

@test

a list whose elements contain the results from the statistical test. The information provided is similar to a list object of class "htest".

@title

a character string with the name of the test. This can be overwritten specifying a user defined input argument.

@description

a character string with an optional user defined description. By default just the current date when the test was applied will be returned.

The slot @test returns an object of class "list" containing (at least) the following elements:

statistic

the value(s) of the test statistic.

p.value

the p-value(s) of the test.

parameters

a numeric value or vector of parameters.

estimate

a numeric value or vector of sample estimates.

conf.int

a numeric two row vector or matrix of 95

method

a character string indicating what type of test was performed.

data.name

a character string giving the name(s) of the data.

Note

Some of the test implementations are selected from R's ctest package.

Author(s)

R-core team for hypothesis tests implemented from R's package ctest.

References

Conover, W. J. (1971); Practical nonparametric statistics, New York: John Wiley & Sons.

Lehmann E.L. (1986); Testing Statistical Hypotheses, John Wiley and Sons, New York.

See Also

locationTest, scaleTest, varianceTest.

Examples

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## x, y -
   x = rnorm(50)
   y = rnorm(50)
  
## correlationTest - 
   correlationTest(x, y, "pearson")
   correlationTest(x, y, "kendall")
   spearmanTest(x, y)

Example output

Loading required package: timeDate
Loading required package: timeSeries


Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org

Title:
 Pearson's Correlation Test

Test Results:
  PARAMETER:
    Degrees of Freedom: 48
  SAMPLE ESTIMATES:
    Correlation: 0.0326
  STATISTIC:
    t: 0.2262
  P VALUE:
    Alternative Two-Sided: 0.822 
    Alternative      Less: 0.589 
    Alternative   Greater: 0.411 
  CONFIDENCE INTERVAL:
    Two-Sided: -0.248, 0.3082
         Less: -1, 0.266
      Greater: -0.2044, 1

Description:
 Sun Jun 11 19:14:22 2017


Title:
 Kendall's tau Correlation Test

Test Results:
  SAMPLE ESTIMATES:
    tau: 0.04
  STATISTIC:
    z: 0.4099
    T | Exact: 637
  P VALUE:
    Alternative         Two-Sided: 0.6819 
    Alternative Two-Sided | Exact: 0.6896 
    Alternative              Less: 0.6591 
    Alternative      Less | Exact: 0.6613 
    Alternative           Greater: 0.3409 
    Alternative   Greater | Exact: 0.3448 

Description:
 Sun Jun 11 19:14:22 2017


Title:
 Spearman's rho Correlation Test

Test Results:
  SAMPLE ESTIMATES:
    rho: 0.0319
  STATISTIC:
    S: 20160
  P VALUE:
    Alternative Two-Sided: 0.8254 
    Alternative      Less: 0.5876 
    Alternative   Greater: 0.4127 

Description:
 Sun Jun 11 19:14:22 2017

fBasics documentation built on Nov. 18, 2017, 4:05 a.m.