Simulated data showing correlation structural breaks in Figure 4 of Fernández-Macho (2017).
A data frame with 512 observations on 1 variables.
a numeric vector
xrand1[t] and xrand2[t] are highly correlated at low frequencies (long timescales) but uncorrelated at high frequencies (short timescales). However, during a period of time spanning the second third of the sample (T/3<t<2T/3) that behavior is reversed so that data become highly correlated at short timescales but uncorrelated at low frequencies.
Fernández-Macho, J., 2017. Time-localized wavelet multiple regression and correlation, (mimeo).
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