ts.match: Correlation calculation based on rolling window with...

In tsdataleaks: Exploit Data Leakages in Time Series Forecasting Competitions

Correlation calculation based on rolling window with overlapping observations.

Description

Correlation calculation based on rolling window with overlapping observations.

Usage

ts.match(x, y, cutoff = 1)

Arguments

x	time series
y	subsection of the time series to map
cutoff	benchmark value for corr, default 1

Value

Pearson's correlation coefficient between x and y

Examples

x <- rnorm(15)
y <- -x[6:10]
x <- c(x, y)
ts.match(x, y, 1)
z <- rnorm(5)
ts.match(x, z)

tsdataleaks documentation built on May 29, 2024, 9:23 a.m.