tauM {sisireg}

Trend-based Correlation

Description

Calculates the trend-based correlation of two time series based on the trend function (Metzner's Tau)

Usage

tauM(x, y)

Arguments

x

time series.

y

time series.

Value

trend-based correlation.

Author(s)

Dr. Lars Metzner

References

Dr. Lars Metzner (2020) Trendbasierte Prognostik. Independently Published.

Examples

set.seed(1234)
s <- seq(-pi, pi, length.out = 200)
x <- s + rnorm(200)
y <- exp(s) + 5*rnorm(length(s))
op <- par(mfrow=c(1,2))
plot(x)
plot(y)
par(op)

p <- cor(x,y) # 0.5037
t <- cor(x,y, method = 'kendall') # 0.2959
tm <- tauM(x, y) # 0.0867