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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.

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Version

Install

install.packages('dCovTS')

Monthly Downloads

308

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