Testing Zero Correlation

Computes the test statistics for examining the significance of autocorrelation in univariate time series, cross-correlation in bivariate time series, Pearson correlations in multivariate series and test statistics for i.i.d. property of univariate series given in Dalla, Giraitis and Phillips (2020), < https://cowles.yale.edu/sites/default/files/files/pub/d21/d2194-r.pdf>.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.2.0 by Violetta Dalla, 7 months ago

Browse source code at https://github.com/cran/testcorr

Authors: Violetta Dalla , Liudas Giraitis and Peter C. B. Phillips

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports stats, ggplot2, scales, reshape2, forcats, knitr, methods

Suggests testthat, rmarkdown

See at CRAN