timsac (version 1.3.8)

mulcor: Multiple Correlation

Description

Estimate multiple correlation.

Usage

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

Value

cov

covariances.

cor

correlations (normalized covariances).

mean

mean.

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.

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, nrow = 1000, ncol = 2)
x[, 1] <- xorg[1:1000]
x[, 2] <- xorg[4:1003] + 0.5*rnorm(1000)
mulcor(x, lag = 20)