timeSeries (version 290.80)

timeSeries-method-stats: Time Series Correlations

Description

S4 methods of stats package for timeSeries objects. ll{ cov Computes Covariance from a 'timeSeries' object, cor Computes Correlations from a 'timeSeries' object. dcauchy ... dnorm ... dt ... }

Usage

## S3 method for class 'timeSeries':
cov(x, y = NULL, use = "all.obs", 
    method = c("pearson", "kendall", "spearman"))
    
## S3 method for class 'timeSeries':
cor(x, y = NULL, use = "all.obs", 
    method = c("pearson", "kendall", "spearman"))

Arguments

method

a character string indicating which correlation coefficient (or covariance) is to be computed. One of "pearson" (default), "kendall", or "spearman", can be abbreviated.

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 "all.obs", "complete.obs" or "pairwise.complete.obs

x

an univariate object of class timeSeries.

y

NULL (default) or a timeSeries object with compatible dimensions to x. The default is equivalent to y = x (but more efficient).

Value

• returns the covariance or correlation matrix.

Examples

## data -
   x = as.timeSeries(data(msft.dat))[, 1:4]
   x = 100*returns(x)

## cov -
   cov(x[, "Open"], x[, "Close"])
   cov(x)