mulcor {timsac} | R Documentation |
Estimate multiple correlation.
mulcor(y, lag = NULL, plot = TRUE, lag_axis = TRUE)
y |
a multivariate time series. |
lag |
maximum lag. Default is 2*sqrt(n), where n
is the length of the time series |
plot |
logical. If TRUE (default), correlations |
lag_axis |
logical. If |
cov |
covariances. |
cor |
correlations (normalized covariances). |
mean |
mean. |
H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.
# 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)