timsac (version 1.3.0)

mulcor: Multiple Correlation

Description

Estimate multiple correlation.

Usage

mulcor(y, lag=NULL, plot=TRUE, lag_axis=TRUE)

Arguments

y

a multivariate time series.

lag

maximum lag. Default is $2 \sqrt{n}$, where $n$ is the length of the time series y.

plot

logical. If TRUE (default) correlations cor are plotted.

lag_axis

logical. If TRUE (default) with plot=TRUE, $x$-axis is drawn.

Value

• cov
  covariances.
• cor
  correlations (normalized covariances).
• mean
  mean.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

# Example 1 
  y <- rnorm(1000)
  dim(y) <- c(500,2)
  mulcor(y, lag_axis=FALSE)

  # Example 2
  xorg <- rnorm(1003)
  x <- matrix(0,1000,2)
  x[,1] <- xorg[1:1000]
  x[,2] <- xorg[4:1003]+0.5*rnorm(1000)
  mulcor(x, lag=20)