⚠️There's a newer version (1.4) of this package.Take me there.

dCovTS (version 1.0)

Distance Covariance and Correlation for Time Series Analysis

Description

Computing and plotting the distance covariance and correlation function of a univariate or a multivariate time series. Test statistics for testing pairwise independence are also implemented. Some data sets are also included.

Copy Link

Version

Install

install.packages('dCovTS')

Monthly Downloads

332

Version

1.0

License

GPL (>= 2)

Maintainer

Maria Pitsillou

Last Published

March 8th, 2016

Functions in dCovTS (1.0)

mADCF

Distance Correlation Matrix

ADCFplot

Auto-distance correlation plot

mADCV

Distance Covariance Matrix

ibmSp500

Monthly returns of IBM and S&P 500 composite index

mADCVtest

Distance covariance test of independence in multivariate time series

dCovTS-package

Distance Covariance and Correlation theory in time series

mADCFtest

Distance Correlation test of independence in multivariate time series

ADCF

Auto-Distance Correlation Function

UnivTest

Testing for independence in univariate time series

MortTempPart

Cardiovascular mortality, temperature and pollution data in Los Angeles County

mADCFplot

Distance cross-correlation plot

kernelFun

Several kernel functions

ADCV

Auto-distance Covariance Function