mulcor {timsac} | R Documentation |
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)
[Package
timsac version 1.2.1
Index]