timevarcorr (Q5980334): Difference between revisions
From MaRDI portal
Created a new Item |
Removed claims |
||
Property / programmed in | |||
Property / programmed in: R / rank | |||
Property / depends on software | |||
Property / depends on software: R / rank | |||
Property / depends on software: R / qualifier | |||
Revision as of 14:21, 4 March 2024
Time Varying Correlation
Language | Label | Description | Also known as |
---|---|---|---|
English | timevarcorr |
Time Varying Correlation |
Statements
Computes how the correlation between 2 time-series changes over time. To do so, the package follows the method from Choi & Shin (2021) <doi:10.1007/s42952-020-00073-6>. It performs a non-parametric kernel smoothing (using a common bandwidth) of all underlying components required for the computation of a correlation coefficient (i.e., x, y, x^2, y^2, xy). An automatic selection procedure for the bandwidth parameter is implemented. Alternative kernels can be used (Epanechnikov, box and normal). Both Pearson and Spearman correlation coefficients can be estimated and change in correlation over time can be tested.
0 references
7 November 2023
0 references