xrand2: Correlation structural breaks variable 2

Description Usage Format Details References Examples

Description

Simulated data showing correlation structural breaks in Figure 4 of Fernández-Macho (2017).

Usage

1
data("xrand")

Format

A data frame with 512 observations on 1 variables.

xrand2

a numeric vector

Details

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.

References

Fernández-Macho, J., 2017. Time-localized wavelet multiple regression and correlation, (mimeo).

Examples

1
2
data(xrand)
## maybe str(xrand) ; plot(xrand) ...

Example output

Loading required package: waveslim

waveslim: Wavelet Method for 1/2/3D Signals (version = 1.7.5)

wavemulcor documentation built on May 2, 2019, 9:34 a.m.