timevarcorr: Time Varying Correlation
Computes how the correlation between 2 time-series changes over time. To do so, the package follows the method from Choi & Shin (2021) <doi:10.1007/s42952-020-00073-6>. It performs a non-parametric kernel smoothing (using a common bandwidth) of all underlying components required for the computation of a correlation coefficient (i.e., x, y, x^2, y^2, xy). An automatic selection procedure for the bandwidth parameter is implemented. Alternative kernels can be used (Epanechnikov, box and normal). Both Pearson and Spearman correlation coefficients can be estimated and change in correlation over time can be tested.
| Version: | 0.1.1 |
| Depends: | R (≥ 2.10) |
| Imports: | lpridge |
| Suggests: | dplyr, ggplot2, spelling, testthat (≥ 3.0.0) |
| Published: | 2023-11-07 |
| DOI: | 10.32614/CRAN.package.timevarcorr |
| Author: | Alexandre Courtiol
 [aut, cre,
cph],
François Rousset
[aut] |
| Maintainer: | Alexandre Courtiol <alexandre.courtiol at gmail.com> |
| BugReports: | https://github.com/courtiol/timevarcorr/issues |
| License: | MIT + file LICENSE |
| URL: | https://courtiol.github.io/timevarcorr/, https://github.com/courtiol/timevarcorr |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README NEWS |
| CRAN checks: | timevarcorr results |
Documentation:
| Reference manual: | timevarcorr.pdf |
Downloads:
| Package source: | timevarcorr_0.1.1.tar.gz |
| Windows binaries: | r-devel: timevarcorr_0.1.1.zip, r-release: timevarcorr_0.1.1.zip, r-oldrel: timevarcorr_0.1.1.zip |
| macOS binaries: | r-release (arm64): timevarcorr_0.1.1.tgz, r-oldrel (arm64): timevarcorr_0.1.1.tgz, r-release (x86_64): timevarcorr_0.1.1.tgz, r-oldrel (x86_64): timevarcorr_0.1.1.tgz |
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