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methods-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

## S4 method for signature 'timeSeries'
cov(x, y = NULL, use = "all.obs", 
    method = c("pearson", "kendall", "spearman"))
    
## S4 method for signature 'timeSeries'
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)
timeSeries

Financial Time Series Objects (Rmetrics)

v3062.100
GPL (>= 2)
Authors
Diethelm Wuertz [aut] (original code), Tobias Setz [cre], Yohan Chalabi [ctb], Martin Maechler [ctb] (<https://orcid.org/0000-0002-8685-9910>)
Initial release
2020-01-24

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