generalCorr

Function gmcmtx0() computes a more reliable (general) correlation matrix. Since causal paths from data are important for all sciences, the package provides many sophisticated functions. causeSummBlk() and causeSum2Blk() give easy-to-interpret causal paths. Let Z denote control variables and compare two flipped kernel regressions: X=f(Y, Z)+e1 and Y=g(X, Z)+e2. Our criterion Cr1 says that if |e1*Y|>|e2*X| then variation in X is more "exogenous or independent" than in Y, and the causal path is X to Y. Criterion Cr2 requires |e2|<|e1|. These inequalities between many absolute values are quantified by four orders of stochastic dominance. Our third criterion Cr3, for the causal path X to Y, requires new generalized partial correlations to satisfy |r*(x|y,z)|< |r*(y|x,z)|. The function parcorVec() reports generalized partials between the first variable and all others. The package provides several R functions including get0outliers() for outlier detection, bigfp() for numerical integration by the trapezoidal rule, stochdom2() for stochastic dominance, pillar3D() for 3D charts, canonRho() for generalized canonical correlations, depMeas() measures nonlinear dependence, and causeSummary(mtx) reports summary of causal paths among matrix columns. Portfolio selection: decileVote(), momentVote(), dif4mtx(), exactSdMtx() can rank several stocks. Functions whose names begin with 'boot' provide bootstrap statistical inference, including a new bootGcRsq() test for "Granger-causality" allowing nonlinear relations. A new tool for evaluation of out-of-sample portfolio performance is outOFsamp(). Panel data implementation is now included. See eight vignettes of the package for theory, examples, and usage tips. See Vinod (2019) \doi{10.1080/03610918.2015.1122048}.

Help pages

151includes a package overview page

Examples that run

40%42 run in a plain check · 63 never run

Exported functions with examples

95%

Documented parameters

100%

Return-value docs

100%

Help pages citing references

50%

Installing generalCorr adds 80 packages (47 with compiled code, 71 MB of source tarballs). Heaviest: stringi 11 MB, ggplot2 6.0 MB, doBy 4.3 MB.

Maintainer since 1.0.0 (2016)

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First published

2016-05-02

Total releases

26 / 10 yrs

License

GPL (>= 2) OSI

Minimum R

≥ 3.0.0

Bundled data

91 KB / 37 files

Download size

2.3 MB

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