CRAN/E | RolWinWavCor

RolWinWavCor

Estimate Rolling Window Wavelet Correlation Between Two Time Series

Installation

About

Estimates and plots as a heat map the rolling window wavelet correlation (RWWC) coefficients statistically significant (within the 95% CI) between two regular (evenly spaced) time series. 'RolWinWavCor' also plots at the same graphic the time series under study. The 'RolWinWavCor' was designed for financial time series, but this software can be used with other kinds of data (e.g., climatic, ecological, geological, etc). The functions contained in 'RolWinWavCor' are highly flexible since these contains some parameters to personalize the time series under analysis and the heat maps of the rolling window wavelet correlation coefficients. Moreover, we have also included a data set (named EU_stock_markets) that contains nine European stock market indices to exemplify the use of the functions contained in 'RolWinWavCor'. Methods derived from Polanco-Martínez et al (2018) doi:10.1016/j.physa.2017.08.065).

Key Metrics

Version 0.4.0
R ≥ 3.6.0
Published 2023-03-13 462 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks RolWinWavCor results

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Maintainer

Maintainer

Josué M. Polanco-Martínez

Authors

Josué M. Polanco-Martínez

aut / cph / cre

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-develnot available

x86_64

r-releasenot available

x86_64

r-oldrelnot available

x86_64

Depends

R ≥ 3.6.0
waveslim