Package: dCovTS 1.4

Michail Tsagris

dCovTS: Distance Covariance and Correlation for Time Series Analysis

Computing and plotting the distance covariance and correlation function of a univariate or a multivariate time series. Both versions of biased and unbiased estimators of distance covariance and correlation are provided. Test statistics for testing pairwise independence are also implemented. Some data sets are also included. References include: a) Edelmann Dominic, Fokianos Konstantinos and Pitsillou Maria (2019). 'An Updated Literature Review of Distance Correlation and Its Applications to Time Series'. International Statistical Review, 87(2): 237--262. <doi:10.1111/insr.12294>. b) Fokianos Konstantinos and Pitsillou Maria (2018). 'Testing independence for multivariate time series via the auto-distance correlation matrix'. Biometrika, 105(2): 337--352. <doi:10.1093/biomet/asx082>. c) Fokianos Konstantinos and Pitsillou Maria (2017). 'Consistent testing for pairwise dependence in time series'. Technometrics, 59(2): 262--270. <doi:10.1080/00401706.2016.1156024>. d) Pitsillou Maria and Fokianos Konstantinos (2016). 'dCovTS: Distance Covariance/Correlation for Time Series'. R Journal, 8(2):324-340. <doi:10.32614/RJ-2016-049>.

Authors:Michail Tsagris [aut, cre], Maria Pitsillou [aut, cph], Konstantinos Fokianos [aut]

dCovTS_1.4.tar.gz
dCovTS_1.4.tar.gz(r-4.5-noble)dCovTS_1.4.tar.gz(r-4.4-noble)
dCovTS_1.4.tgz(r-4.4-emscripten)dCovTS_1.4.tgz(r-4.3-emscripten)
dCovTS.pdf |dCovTS.html
dCovTS/json (API)

# Install 'dCovTS' in R:
install.packages('dCovTS', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • MortTempPart - Cardiovascular mortality, temperature and pollution data in Los Angeles County
  • ibmSp500 - Monthly returns of IBM and S&P 500 composite index

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.11 score 1 stars 13 scripts 315 downloads 10 exports 13 dependencies

Last updated 1 years agofrom:23c9845625. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 21 2024
R-4.5-linuxOKDec 21 2024

Exports:ADCFADCFplotADCVkernelFunmADCFmADCFplotmADCFtestmADCVmADCVtestUnivTest

Dependencies:codetoolsdcovdoParallelforeachiteratorsRcppRcppArmadilloRcppGSLRcppParallelRcppZigguratRfastRfast2Rnanoflann