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NonParRolCor  

a Non-Parametric Statistical Significance Test for Rolling Window Correlation
View on CRAN: Click here


Download and install NonParRolCor package within the R console
Install from CRAN:
install.packages("NonParRolCor")

Install from Github:
library("remotes")
install_github("cran/NonParRolCor")

Install by package version:
library("remotes")
install_version("NonParRolCor", "0.8.0")



Attach the package and use:
library("NonParRolCor")
Maintained by
Josue M. Polanco-Martinez
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-03-31
Latest Update: 2022-10-30
Description:
Estimates and plots (as a single plot and as a heat map) the rolling window correlation coefficients between two time series and computes their statistical significance, which is carried out through a non-parametric computing-intensive method. This method addresses the effects due to the multiple testing (inflation of the Type I error) when the statistical significance is estimated for the rolling window correlation coefficients. The method is based on Monte Carlo simulations by permuting one of the variables (e.g., the dependent) under analysis and keeping fixed the other variable (e.g., the independent). We improve the computational efficiency of this method to reduce the computation time through parallel computing. The 'NonParRolCor' package also provides examples with synthetic and real-life environmental time series to exemplify its use. Methods derived from R. Telford (2013) and J.M. Polanco-Martinez and J.L. Lopez-Martinez (2021) .
How to cite:
Josue M. Polanco-Martinez (2021). NonParRolCor: a Non-Parametric Statistical Significance Test for Rolling Window Correlation. R package version 0.8.0, https://cran.r-project.org/web/packages/NonParRolCor. Accessed 25 Jun. 2026.
Previous versions and publish date:
0.4.0 (2021-03-31 11:00), 0.6.0 (2021-04-07 12:00)
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Complete documentation for NonParRolCor
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