Man pages for generalCorr
Generalized Correlations, Causal Paths and Portfolio Selection

absBstdresBlock version of abs-stdres Absolute values of residuals of...
absBstdresCBlock version of Absolute values of residuals of kernel...
absBstdrhserCBlock version abs_stdrhser Absolute residuals kernel...
abs_resAbsolute residuals of kernel regression of x on y.
abs_stdapdAbsolute values of gradients (apd's) of kernel regressions of...
abs_stdapdCAbsolute values of gradients (apd's) of kernel regressions of...
abs_stdresAbsolute values of residuals of kernel regressions of x on y...
abs_stdresCAbsolute values of residuals of kernel regressions of x on y...
abs_stdrhserCAbsolute residuals kernel regressions of standardized x on y...
abs_stdrhserrAbsolute values of Hausman-Wu null in kernel regressions of x...
allPairsReport causal identification for all pairs of variables in a...
badColinternal badCol
bigfpCompute the numerical integration by the trapezoidal rule.
bootDom12bootstrap confidence intervals for (x2-x1) exact SD1 to SD4...
bootGcLCCompute vector of n999 nonlinear Granger causality paths
bootGcRsqCompute vector of n999 nonlinear Granger causality paths
bootPair2Compute matrix of n999 rows and p-1 columns of bootstrap...
bootPairsCompute matrix of n999 rows and p-1 columns of bootstrap...
bootPairs0Compute matrix of n999 rows and p-1 columns of bootstrap...
bootQuantileCompute confidence intervals [quantile(s)] of indexes from...
bootSignProbability of unambiguously correct (+ or -) sign from...
bootSignPcentProbability of unambiguously correct (+ or -) sign from...
bootSummaryCompute usual summary stats of 'sum' indexes from bootPairs...
bootSummary2Compute usual summary stats of 'sum' index in (-100, 100)...
canonRhoGeneralized canonical correlation, estimating alpha, beta,...
causeAllPairAll Pair Version Kernel (block) causality summary paths from...
causeSum2BlkBlock Version 2: Kernel causality summary of causal paths...
causeSum2PanelKernel regressions based causal paths in Panel Data.
causeSummaryKernel causality summary of evidence for causal paths from...
causeSummary0Older Kernel causality summary of evidence for causal paths...
causeSummary2Kernel causality summary of evidence for causal paths from...
causeSummary2NoPNo Print version Kernel causality summary of evidence for...
causeSummBlkBlock Version 2: Kernel causality summary of causal paths...
causeSumNoPNo print (NoP) version of causeSummBlk summary causal paths...
cofactorCompute cofactor of a matrix based on row r and column c.
compPortfoCompares two vectors (portfolios) using momentVote,...
comp_portfo2Compares two vectors (portfolios) using stochastic dominance...
dainternal da
da2Laginternal da2Lag
decileVoteFunction compares nine deciles of stock return distributions.
depMeasdepMeas Signed measure of nonlinear nonparametric dependence...
dif4order 4 differencing of a time series vector
dif4mtxorder four differencing of a matrix of time series
diff.e0Internal diff.e0
digInternal dig
e0internal e0
EuroCrimeEuropean Crime Data
exactSdMtxExact stochastic dominance computation from areas above ECDF...
GcRsqX12Generalized Granger-Causality. If dif>0, x2 Granger-causes...
GcRsqX12cGeneralized Granger-Causality. If dif>0, x2 Granger-causes...
GcRsqYXNonlinear Granger causality between two time series workhorse...
GcRsqYXcNonlinear Granger causality between two time series workhorse...
generalCorrInfogeneralCorr package description:
get0outliersFunction to compute outliers and their count using Tukey's...
getSeqTwo sequences: starting+ending values from n and blocksize...
gmc0internal gmc0
gmc1internal gmc1
gmcmtx0Matrix R* of generalized correlation coefficients captures...
gmcmtxBlkMatrix R* of generalized correlation coefficients captures...
gmcmtxZcompute the matrix R* of generalized correlation...
gmcxy_npFunction to compute generalized correlation coefficients...
goodColinternal goodCol
heuristHeuristic t test of the difference between two generalized...
iinternal i
ibadinternal object
iiinternal ii
jinternal j
kernKernel regression with options for residuals and gradients.
kern2Kernel regression version 2 with optional residuals and...
kern2ctrlKernel regression with control variables and optional...
kern_ctrlKernel regression with control variables and optional...
magApproximate overall magnitudes of kernel regression partials...
mag_ctrlAfter removing control variables, magnitude of effect of x on...
min.e0internal min.e0
minorFunction to do compute the minor of a matrix defined by row r...
momentVoteFunction compares Pearson Stats and Sharpe Ratio for a matrix...
mtxinternal mtx
mtx0internal mtx0
mtx2internal mtx2
ninternal n
nallinternal nall
nam.badColinternal nam.badCol
nam.goodColinternal nam.goodCol
nam.mtx0internal nam.mtx0
napairFunction to do pairwise deletion of missing rows.
naTripleFunction to do matched deletion of missing rows from x, y and...
naTripletFunction to do matched deletion of missing rows from x, y and...
NLhatCompute fitted values from kernel regression of x on y and y...
out1internal out1
outOFsampCompare out-of-sample portfolio choice algorithms by a...
outOFsellCompare out-of-sample (short) selling algorithms by a...
p1internal p1
Panel2LagFunction to compute a vector of 2 lagged values of a variable...
PanelLagFunction for computing a vector of one-lagged values of xj, a...
parcorBijkBlock version of generalized partial correlation coefficients...
parcorBManyBlock version reports many generalized partial correlation...
parcorHijkGeneralized partial correlation coefficients between Xi and...
parcorHijk2Generalized partial correlation coefficients between Xi and...
parcor_ijkGeneralized partial correlation coefficients between Xi and...
parcor_ijkOLDGeneralized partial correlation coefficient between Xi and Xj...
parcor_linearPartial correlation coefficient between Xi and Xj after...
parcorManyReport many generalized partial correlation coefficients...
parcorMtxMatrix of generalized partial correlation coefficients,...
parcor_ridgCompute generalized (ridge-adjusted) partial correlation...
parcorSilentSilently compute generalized (ridge-adjusted) partial...
parcorVecVector of generalized partial correlation coefficients...
parcorVecHVector of hybrid generalized partial correlation...
parcorVecH2Vector of hybrid generalized partial correlation...
pcauseCompute the bootstrap probability of correct causal...
pillar3DCreate a 3D pillar chart to display (x, y, z) data coordinate...
prelec2Intermediate weighting function giving Non-Expected Utility...
probSignCompute probability of positive or negative sign from...
rank2returnCompute the portfolio return knowing the rank of a stock in...
rank2sellCompute the portfolio return knowing the rank of a stock in...
rhs1internal rhs1
rhs.lag2internal rhs.lag2
ridgekinternal ridgek
rijinternal rij
rijMrjiinternal rijMrji
rjiinternal rji
rrijinternal rrij
rrjiinternal rrji
rstarFunction to compute generalized correlation coefficients...
sales2Laginternal sales2Lag
salesLaginternal salesLag
seedinternal seed
sgn.e0internal sgn.e0
silentMtxNo-print kernel-causality unanimity score matrix with...
silentMtx0Older kernel-causality unanimity score matrix with optional...
silentPair2kernel causality (version 2) scores with control variables
silentPairsNo-print kernel causality scores with control variables...
silentPairs0Older version, kernel causality weighted sum allowing control...
siPair2BlkBlock Version of silentPair2 for causality scores with...
siPairsBlkBlock Version of silentPairs for causality scores with...
some0PairsFunction reporting detailed kernel causality results in a...
someCPairsKernel causality computations admitting control variables.
someCPairs2Kernel causality computations admitting control variables...
someMagPairsSummary magnitudes after removing control variables in...
somePairsFunction reporting kernel causality results as a 7-column...
somePairs2Function reporting kernel causality results as a 7-column...
sort.abse0internal sort.abse0
sort.e0internal sort.e0
sort_matrixSort all columns of matrix x with respect to the j-th column.
stdresResiduals of kernel regressions of x on y when both x and y...
stdz_xyStandardize x and y vectors to achieve zero mean and unit...
stochdom2Compute vectors measuring stochastic dominance of four...
sudoCoefParcorPseudo regression coefficients from generalized partial...
sudoCoefParcorHPeudo regression coefficients from hybrid generalized partial...
summaryRankCompute ranks of rows of matrix and summarize them into a...
symmzeReplace asymmetric matrix by max of abs values of [i,j] or...
wtdpapbCreates input for the stochastic dominance function stochdom2
generalCorr documentation built on Oct. 10, 2023, 1:06 a.m.