runCorr | R Documentation |
Extracts the running correlations by sliding a window comprised of wsize
time points, and in each window,
the correlation of each pair of variables is computed.
Each time the window is slid, the oldest time point is discarded and the latest time point is added.
runCorr(data, wsize = 25)
data |
N x v dataframe where N is the no. of time points and v the no. of variables |
wsize |
window size |
Running correlations time series
data(MentalLoad)
RS<-runCorr(data=MentalLoad,wsize=25)
ts.plot(RS, gpars=list(xlab="Window", ylab="Correlations", col=1:3,lwd=2))
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