rolCorPlot {dLagM} | R Documentation |
PLot the rolling correlations
Description
Plots the rolling correlations along with other required statistics to visualise the approach of Gershunov et al. (2001) to test the significance of signal from rolling correlation analysis.
Usage
rolCorPlot(x , y , width, level = 0.95, main = NULL,
SDtest = TRUE, N = 500)
Arguments
x |
A ts object. |
y |
A ts object. |
width |
A numeric vector of window lengths of the rolling correlation analysis. |
level |
Confidence level for intervals. |
main |
The main title of the plot. |
SDtest |
Set to |
N |
An integer showing the number of series to be generated in Monte Carlo simulation. |
Value
rolCor |
A matrix showing rolling correlations for each |
rolcCor.avr.filtered |
A vector showing average rolling correlations filtered by running median nonlinear filter against outliers. |
rolcCor.avr.raw |
A vector showing unfiltered average rolling correlations. |
rolCor.sd |
A vector showing standard deviations of rolling correlations for each |
rawCor |
Pearson correlation between two series. |
sdPercentiles |
Percentiles of MC distribution of standard deviations of rolling correlations as the test limits. |
test |
A data frame showing the standard deviations of rolling correlations for each |
Author(s)
Haydar Demirhan
Maintainer: Haydar Demirhan <haydar.demirhan@rmit.edu.au>
References
Gershunov, A., Scheider, N., Barnett, T. (2001). Low-Frequency Modulation of the ENSO-Indian Monsoon Rainfall Relationship: Signal or Noise? Journal of Climate, 14, 2486 - 2492.
Examples
## Not run:
data(wheat)
prod.ts <-ts(wheat[,5], start = 1960)
CO2.ts <- ts(wheat[,2], start = 1960)
rolCorPlot(x = prod.ts, y = CO2.ts , width = c(7, 11, 15), level = 0.95, N = 50)
## End(Not run)