timeSeries-method-stats

From timeSeries v3022.101.2 by Tobias Setz

Time Series Correlations

S4 methods of stats package for timeSeries objects.

cov

Computes Covariance from a 'timeSeries' object,

cor

Computes Correlations from a 'timeSeries' object.

dcauchy

...

dnorm

...

dt

...

Keywords: methods, chron

Usage

"cov"(x, y = NULL, use = "all.obs",  method = c("pearson", "kendall", "spearman")) 
"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

library(timeSeries)

## Load Microsoft Data Set - 
   data(MSFT)
   X = MSFT[, 1:4]
   X = 100 * returns(X)

## Compute Covariance Matrix - 
   cov(X[, "Open"], X[, "Close"])
   cov(X)

Documentation reproduced from package timeSeries, version 3022.101.2, License: GPL (>= 2)

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