mulcor: Multiple Correlation

In timsac: Time Series Analysis and Control Package

Multiple Correlation

Description

Estimate multiple correlation.

Usage

  mulcor(y, lag = NULL, plot = TRUE, lag_axis = TRUE)

Arguments

y	a multivariate time series.
lag	maximum lag. Default is 2 \sqrt{n}, where n is the length of the time series y.
plot	logical. If TRUE (default), correlations cor are plotted.
lag_axis	logical. If TRUE (default) with plot=TRUE, x-axis is drawn.

Value

cov	covariances.
cor	correlations (normalized covariances).
mean	mean.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

# Example 1 
y <- rnorm(1000)
dim(y) <- c(500,2)
mulcor(y, lag_axis = FALSE)

# Example 2
xorg <- rnorm(1003)
x <- matrix(0, nrow = 1000, ncol = 2)
x[, 1] <- xorg[1:1000]
x[, 2] <- xorg[4:1003] + 0.5*rnorm(1000)
mulcor(x, lag = 20)

timsac documentation built on Sept. 30, 2023, 5:06 p.m.