rollcor: Calculate the rolling window correlations

In zoocat: 'zoo' Objects with Column Attributes

Description

Calculate the rolling window correlations.

Usage

rollcor(x, y, ...)

## Default S3 method:
rollcor(x, y, width, show = TRUE, ...)

## S3 method for class 'zoo'
rollcor(x, y, width, show = TRUE, ...)

Arguments

x, y	Two vectors or two zoo objects. For zoo objects, if their time ranges is different, intersection will be used.
...	Other arguments for function cor.
width	The width of the sliding window, which must be odd number.
show	If TRUE, the result will be plotted.

Value

rollcor.default return a vector, and rollcor.zoo return a "zoo" object.

Examples

x <- 1 : 100
y <- 2 * x + rnorm(100, 0, 10)
rollcor(x, y, width = 21)

xz <- zoo(x)
yz <- zoo(y)
rollcor(xz, yz, width = 21)

rollcor(xz, yz, width = 21, show = FALSE)

x <- 1 : 100
y <- 2 * x  + rnorm(100, 0, 10)
x <- zoo(x, order.by = 10 : 109)
y <- zoo(y, order.by = -3 : 96)
rollcor(x, y, width = 21, method = 'kendall')

zoocat documentation built on May 2, 2019, 10:22 a.m.