rcorr.test: Testing zero Pearson correlation

In testcorr: Testing Zero Correlation

Description

The function rcorr.test computes the test statistics for examining the null hypothesis of zero Pearson correlation for multivariate series in Dalla, Giraitis and Phillips (2020).

Usage

rcorr.test(x, plot = TRUE, table = TRUE, var.names = NULL,
           scale.font = 1)

Arguments

x	A numeric matrix or a multivariate numeric time series object or a data frame.
plot	Logical. If TRUE the sample Pearson correlations and the p-values for significance are plotted. Default is TRUE.
table	Logical. If TRUE the sample Pearson correlations and the p-values for significance are printed out. Default is TRUE.
var.names	NULL or a character string specifying the variable names. If NULL and x has names, the names of x are used. If NULL and x has no names, the string c("x[1]","x[2]",...) is used. Default is NULL.
scale.font	A positive number indicating the scaling of the font size in the plots. Default is 1.

Details

The p-value of the robust t-tilde statistic is for testing the null hypothesis H[0]:ρ[i,j]=0, where ρ[i,j] denotes the correlation of x[i] and x[j].

Value

An object of class "rcorr.test", which is a list with the following components:

pc	The sample Pearson correlations.
pv	The p-values for the t-tilde test statistics.

Note

Missing values are not allowed.

Author(s)

Violetta Dalla, Liudas Giraitis and Peter C. B. Phillips

References

Dalla, V., Giraitis, L. and Phillips, P. C. B. (2020). "Robust Tests for White Noise and Cross-Correlation". Cowles Foundation, Discussion Paper No. 2194, https://cowles.yale.edu/sites/default/files/files/pub/d21/d2194-r.pdf.

Examples

x <- matrix(rnorm(400),100)
rcorr.test(x)

Example output

Matrix of Pearson correlations

        x1     x2     x3     x4
 x1      1  0.014 -0.004 -0.159
 x2  0.014      1  0.083 -0.038
 x3 -0.004  0.083      1 -0.033
 x4 -0.159 -0.038 -0.033      1

Matrix of p-values

       x1    x2    x3    x4
 x1       0.898 0.972 0.086
 x2 0.898       0.370 0.689
 x3 0.972 0.370       0.723
 x4 0.086 0.689 0.723      

testcorr documentation built on April 5, 2021, 5:06 p.m.