cor_stress: Stressed correlation

In dangulod/ECTools: Economic Capital Tools

Description

Stressed correlation

Usage

cor_stress(x, y = NULL, period = period, abs = F, use = "everything",
  method = c("pearson", "kendall", "spearman"), ...)

Arguments

x	a numeric vector, matrix or data frame.
y	NULL (default) or a vector, matrix or data frame with compatible dimensions to x. The default is equivalent to y = x (but more efficient).
period	numeric number of periods to use
abs	logical. Should absolute values be used
use	an optional character string giving a method for computing covariances in the presence of missing values. This must be (an abbreviation of) one of the strings "everything", "all.obs", "complete.obs", "na.or.complete", or "pairwise.complete.obs"
method	a character string indicating which correlation coefficient (or covariance) is to be computed. One of "pearson" (default), "kendall", or "spearman": can be abbreviated.
...

Value

Return the stressed correlation of x and y in the selected period if these are vectors. If x and y are matrices then the correlations between the columns of x and the columns of y are returned

dangulod/ECTools documentation built on May 4, 2019, 3:19 p.m.