timeSeries-method-stats {timeSeries} | R Documentation |
Time Series Correlations
Description
S4 methods of stats package for timeSeries
objects.
cov | Computes Covariance from a 'timeSeries' object, |
cor | Computes Correlations from a 'timeSeries' object. |
dcauchy | ... |
dnorm | ... |
dt | ... |
Usage
## S4 method for signature 'timeSeries'
cov(x, y = NULL, use = "all.obs",
method = c("pearson", "kendall", "spearman"))
## S4 method for signature 'timeSeries'
cor(x, y = NULL, use = "all.obs",
method = c("pearson", "kendall", "spearman"))
Arguments
method |
a character string indicating which correlation coefficient (or
covariance) is to be computed. One of |
use |
an optional character string giving a method for computing
covariances in the presence of missing values. This must
be (an abbreviation of) one of the strings |
x |
an univariate object of class |
y |
NULL (default) or a |
Value
returns the covariance or correlation matrix.
Examples
## Load Microsoft Data Set -
data(MSFT)
X = MSFT[, 1:4]
X = 100 * returns(X)
## Compute Covariance Matrix -
cov(X[, "Open"], X[, "Close"])
cov(X)
[Package timeSeries version 4030.106 Index]