rhodcca.SlidingWindows {SlidingWindows} | R Documentation |
Detrended Cross-Correlation Coefficient with sliding windows.
Description
This function generates Detrended Cross-Correlation Coefficient of two time series with sliding windows approach.
Usage
rhodcca.SlidingWindows(x, y, w = 98, k = 10, nu = 0)
Arguments
x |
A vector containing univariate time series. |
y |
A vector containing univariate time series. |
w |
An integer value indicating the window size |
k |
An integer value indicating the boundary of the division |
nu |
An integer value. See DCCA package. |
Details
This function include following measures:
w, timescale, rhodcca
Value
A list containing "w", "timescale", "rhodcca".
References
GUEDES, E.F.; ZEBENDE, G.F. DCCA cross-correlation coefficient with sliding windows approach. PHYSICA A, v.527, p.121286, 2019. doi="doi.org/10.1016/j.physa.2010.10.022".
ZEBENDE, G.F. DCCA cross-correlation coefficient: Quantifying level of cross-correlation, Physica A, v. 390, n. 4, p. 614-618, 2011. doi="doi.org/10.1016/j.physa.2019.121286".
Examples
x <- rnorm(100)
y <- rnorm(100)
rhodcca.SlidingWindows(x,y,w=99,k=10,nu=0)