[R] QUERY: correlation between two time series
Ben Bolker
bolker at ufl.edu
Thu Jun 22 23:56:03 CEST 2006
Stefano Sofia <stefano.sofia <at> regione.marche.it> writes:
>
> I am writing on the behalf of a colleague.
>
> She needs to evaluate the correlation between two time series.
> How can this be performed through R? (how many types of correlations can be
performed and which are the
> commands to do it?)
>
This question is too broad, and the first answer is
the usual "please read the
posting guide/documentation/etc." -- as a start, try
?cor
help.search("correlation")
help.search("time series")
RSiteSearch( etc. )
taking a wild guess at your friend's statistical issue,
she might needs to estimate cross-correlations between
the series in the presence of autocorrelation in each time
series, which is typically done using a multiple ARMA
model:
http://finzi.psych.upenn.edu/R/Rhelp02a.new/archive/24612.html
suggests that the dse bundle has such capabilities.
This list is *not* a general-purpose statistics query list, but
if your friend (or you) submitted a much more careful description
of the problem, and showed more evidence of (1) having a good idea
of the general statistical background of the problem (e.g. "I think
model X would be appropriate based on reading the literature in
my area but I can't figure out whether R can do it" or
"everyone in my field uses model X but it's not appropriate
in this case because ...") and (2) having tried to use the existing
R documentation (RSiteSearch, etc.) to find the answers to your
questions --- then you'd be much more likely to get a useful
response, even if it was not strictly an R question.
Ben Bolker
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