NonParRolCor: An R package for estimating rolling correlation for two regular time series
The R package NonParRolCor estimates rolling window correlations between two regular time series. The statistical significance estimated for the rolling correlation coefficients addresses effects due to multiple testing. This is done via Monte Carlo simulations by permuting one of the variables and...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-05-01
|
| Series: | SoftwareX |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352711023000493 |
| _version_ | 1827940568962957312 |
|---|---|
| author | Josué M. Polanco-Martínez José L. López-Martínez |
| author_facet | Josué M. Polanco-Martínez José L. López-Martínez |
| author_sort | Josué M. Polanco-Martínez |
| collection | DOAJ |
| description | The R package NonParRolCor estimates rolling window correlations between two regular time series. The statistical significance estimated for the rolling correlation coefficients addresses effects due to multiple testing. This is done via Monte Carlo simulations by permuting one of the variables and keeping the other fixed. NonParRolCor uses parallel computing to improve computation time when statistical significance is estimated. NonParRolCor contains four functions for estimating and plotting the correlation coefficients for a single window-length or a band of window-lengths. NonParRolCor’s functions are highly flexible, since they contain several parameters for controlling the estimation of correlation and the plot output. Some applications are presented to illustrate its use. |
| first_indexed | 2024-03-13T09:11:14Z |
| format | Article |
| id | doaj.art-b1fae47b4af743c48848d648260f06c3 |
| institution | Directory Open Access Journal |
| issn | 2352-7110 |
| language | English |
| last_indexed | 2024-03-13T09:11:14Z |
| publishDate | 2023-05-01 |
| publisher | Elsevier |
| record_format | Article |
| series | SoftwareX |
| spelling | doaj.art-b1fae47b4af743c48848d648260f06c32023-05-27T04:25:49ZengElsevierSoftwareX2352-71102023-05-0122101353NonParRolCor: An R package for estimating rolling correlation for two regular time seriesJosué M. Polanco-Martínez0José L. López-Martínez1GECOS-IME, Universidad de Salamanca, Salamanca, Spain; Basque Centre for Climate Change (BC3), Leioa, Spain; Corresponding author at: GECOS-IME, Universidad de Salamanca, Salamanca, Spain.Faculty of Mathematics, Universidad Autónoma de Yucatán (UADY), Mérida, Yucatán, MexicoThe R package NonParRolCor estimates rolling window correlations between two regular time series. The statistical significance estimated for the rolling correlation coefficients addresses effects due to multiple testing. This is done via Monte Carlo simulations by permuting one of the variables and keeping the other fixed. NonParRolCor uses parallel computing to improve computation time when statistical significance is estimated. NonParRolCor contains four functions for estimating and plotting the correlation coefficients for a single window-length or a band of window-lengths. NonParRolCor’s functions are highly flexible, since they contain several parameters for controlling the estimation of correlation and the plot output. Some applications are presented to illustrate its use.http://www.sciencedirect.com/science/article/pii/S2352711023000493Heat mapMonte-Carlo simulationMultiple testing problemNon-parametric testRolling window correlation |
| spellingShingle | Josué M. Polanco-Martínez José L. López-Martínez NonParRolCor: An R package for estimating rolling correlation for two regular time series SoftwareX Heat map Monte-Carlo simulation Multiple testing problem Non-parametric test Rolling window correlation |
| title | NonParRolCor: An R package for estimating rolling correlation for two regular time series |
| title_full | NonParRolCor: An R package for estimating rolling correlation for two regular time series |
| title_fullStr | NonParRolCor: An R package for estimating rolling correlation for two regular time series |
| title_full_unstemmed | NonParRolCor: An R package for estimating rolling correlation for two regular time series |
| title_short | NonParRolCor: An R package for estimating rolling correlation for two regular time series |
| title_sort | nonparrolcor an r package for estimating rolling correlation for two regular time series |
| topic | Heat map Monte-Carlo simulation Multiple testing problem Non-parametric test Rolling window correlation |
| url | http://www.sciencedirect.com/science/article/pii/S2352711023000493 |
| work_keys_str_mv | AT josuempolancomartinez nonparrolcoranrpackageforestimatingrollingcorrelationfortworegulartimeseries AT josellopezmartinez nonparrolcoranrpackageforestimatingrollingcorrelationfortworegulartimeseries |