timevarcorr

cranv0.1.1

Time Varying Correlation. Computes how the correlation between 2 time-series changes over time. To do so, the package follows the method from Choi & Shin (2021) <doi:10.1007/s42952-020-00073-6>. It performs a non-parametric kernel smoothing (using a common bandwidth) of all underlying components required for the computation

License MIT + file LICENSE0 versions1 maintainers1 deps63 weekly dl
courtiol/timevarcorr
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First published · 2023-11-07 20:15:21

Last updated · 2023-11-07T17:20:02+00:00