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

Tests if two series are correlated.

1 2 3 4 5 6 7 8 | ```
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)
``` |

`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. |

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.

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 |

`@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. |

Some of the test implementations are selected from **R**'s `ctest`

package.

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

.

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.

`locationTest`

,
`scaleTest`

,
`varianceTest`

.

1 2 3 4 5 6 7 8 | ```
## x, y -
x = rnorm(50)
y = rnorm(50)
## correlationTest -
correlationTest(x, y, "pearson")
correlationTest(x, y, "kendall")
spearmanTest(x, y)
``` |

```
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
```

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