timeSeries (version 3022.101.2)

timeSeries-method-stats: Time Series Correlations

Description

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

...

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

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

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