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>.


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Reference manual

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install.packages("testcorr")

0.2.0 by Violetta Dalla, 4 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