generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

Since causal paths from data are important for all sciences, the package provides many sophisticated functions. causeSummBlk() and causeSum2Blk() give easy-to-interpret causal paths. Let Z denote control variables and compare two flipped kernel regressions: X=f(Y, Z)+e1 and Y=g(X,Z)+e2. Our criterion Cr1 says that if |e1*Y|>|e2*X| then variation in X is more "exogenous or independent" than in Y and causal path is X to Y. Criterion Cr2 requires |e2|<|e1|. These inequalities between many absolute values are quantified by four orders of stochastic dominance. Our third criterion Cr3 for the causal path X to Y requires new generalized partial correlations to satisfy |r*(x|y,z)|< |r*(y|x,z)|. The function parcorVec() reports generalized partials between the first variable and all others. The package provides several R functions including get0outliers() for outlier detection, bigfp() for numerical integration by the trapezoidal rule, stochdom2() for stochastic dominance, pillar3D() for 3D charts, canonRho() for generalized canonical correlations, depMeas() measures nonlinear dependence, and causeSummary(mtx) reports summary of causal paths among matrix columns is easiest to use. Portfolio selection: decileVote(), momentVote(), dif4mtx(), exactSdMtx() can rank several stocks. Several functions whose names begin with 'boot' provide bootstrap statistical inference including a new bootGcRsq() test for "Granger-causality" allowing nonlinear relations. A new tool for evaluation of out-of-sample portfolio performance is outOFsamp(). See six vignettes of the package for theory and usage tips. See Vinod (2019) \doi{10.1080/03610918.2015.1122048}.

Getting started

Package details

AuthorProf. H. D. Vinod, Fordham University, NY.
MaintainerH. D. Vinod <vinod@fordham.edu>
LicenseGPL (>= 2)
Version1.2.2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("generalCorr")

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generalCorr documentation built on Jan. 4, 2022, 1:08 a.m.