cross_moment_to_correlation: Cross-moment to correlation.
In ajmcneil/spectralBacktest: Spectral Backtests of Forecast Distributions
View source: R/kernelCollection.R
cross_moment_to_correlation R Documentation
Cross-moment to correlation.
Description
Returns a correlation given a cross-moment and two vectors of uncentered moments (μ_1,μ_2) for
each kernel.
Usage
cross_moment_to_correlation(mux, muA, muB)
Arguments
mux
(double) cross-moment E[ν_A(P) ν_B(P)] under null
muA
first two uncentered moments of ν_A(P)
muB
first two uncentered moments of ν_B(P)
rho
linear correlation of ν_A(P) and ν_B(P)
ajmcneil/spectralBacktest documentation built on Dec. 31, 2022, 8:17 p.m.
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View source: R/kernelCollection.R
| cross_moment_to_correlation | R Documentation |
Cross-moment to correlation.
Description
Returns a correlation given a cross-moment and two vectors of uncentered moments (μ_1,μ_2) for each kernel.
Usage
cross_moment_to_correlation(mux, muA, muB)
Arguments
mux |
(double) cross-moment E[ν_A(P) ν_B(P)] under null |
muA |
first two uncentered moments of ν_A(P) |
muB |
first two uncentered moments of ν_B(P) |
rho |
linear correlation of ν_A(P) and ν_B(P) |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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