| InformationAdjustedCorr {Trading} | R Documentation |
Information Adjusted Correlation
Description
Calculates the Information-Adjusted Correlation between the track records of various assets/strategies which covers for cases whereby the 'typical' Pearson's correlation assumptions do not hold. The normalized cross sample entropy has been utilized for the mutual information estimation.
Usage
InformationAdjustedCorr(x, y, m = 2, r = 0.2)
Arguments
x |
a vector containing the track record of the underlying asset/strategy (can be a data.table, data.frame, vector etc) |
y |
a vector containing the track record of the underlying asset/strategy (can be a data.table, data.frame, vector etc) |
m |
an integer value defining the embedding dimension for the sample entropy calculation, default value is 2 |
r |
a double value defining the tolerance for the sample entropy calculation, default value is 0.2 |
Value
The information adjusted correlation
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
https://github.com/devisechain/Devise/blob/master/yellow_paper.pdf
Examples
x = PerformanceAnalytics::edhec[,c("Short Selling")]
y = PerformanceAnalytics::edhec[,c("Convertible Arbitrage")]
Information_Adjusted_Corr = InformationAdjustedCorr(x, y, m=2, r=0.2)