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generalCorr  

Generalized Correlations, Causal Paths and Portfolio Selection
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("generalCorr", "1.2.6")



Attach the package and use:
library("generalCorr")
Maintained by
H. D. Vinod
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-05-02
Latest Update: 2023-10-09
Description:
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}.
How to cite:
H. D. Vinod (2016). generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection. R package version 1.2.6, https://cran.r-project.org/web/packages/generalCorr. Accessed 06 Nov. 2024.
Previous versions and publish date:
1.0.0 (2016-05-02 06:24), 1.0.1 (2016-05-21 00:05), 1.0.2 (2016-06-04 19:34), 1.0.3 (2016-06-28 20:13), 1.0.4 (2017-06-08 06:15), 1.0.5 (2017-06-16 19:59), 1.0.6 (2017-07-22 14:40), 1.0.7 (2017-09-02 17:41), 1.0.8 (2017-09-11 16:28), 1.0.9 (2017-10-04 00:46), 1.1.0 (2018-01-05 06:17), 1.1.1 (2018-01-24 20:03), 1.1.2 (2018-07-12 09:20), 1.1.3 (2019-10-07 19:00), 1.1.5 (2019-10-30 21:50), 1.1.6 (2020-11-21 00:30), 1.1.7 (2020-11-29 22:50), 1.1.8 (2020-12-02 08:40), 1.1.9 (2021-10-18 06:30), 1.2.0 (2021-11-10 06:20), 1.2.1 (2021-12-08 21:30), 1.2.2 (2022-01-03 18:10), 1.2.3 (2023-05-01 06:30), 1.2.4 (2023-08-16 18:24), 1.2.5 (2023-10-08 00:40)
Other packages that cited generalCorr R package
View generalCorr citation profile
Other R packages that generalCorr depends, imports, suggests or enhances
Complete documentation for generalCorr
Functions, R codes and Examples using the generalCorr R package
Some associated functions: EuroCrime . GcRsqX12 . GcRsqX12c . GcRsqYX . GcRsqYXc . NLhat . Panel2Lag . PanelLag . absBstdres . absBstdresC . absBstdrhserC . abs_res . abs_stdapd . abs_stdapdC . abs_stdres . abs_stdresC . abs_stdrhserC . abs_stdrhserr . allPairs . badCol . bigfp . bootDom12 . bootGcLC . bootGcRsq . bootPair2 . bootPairs . bootPairs0 . bootQuantile . bootSign . bootSignPcent . bootSummary . bootSummary2 . canonRho . causeAllPair . causeSum2Blk . causeSum2Panel . causeSumNoP . causeSummBlk . causeSummary . causeSummary0 . causeSummary2 . causeSummary2NoP . cofactor . compPortfo . comp_portfo2 . da . da2Lag . decileVote . depMeas . dif4 . dif4mtx . diff.e0 . dig . e0 . exactSdMtx . generalCorrInfo . get0outliers . getSeq . gmc0 . gmc1 . gmcmtx0 . gmcmtxBlk . gmcmtxZ . gmcxy_np . goodCol . heurist . i . ibad . ii . j . kern . kern2 . kern2ctrl . kern_ctrl . mag . mag_ctrl . min.e0 . minor . momentVote . mtx . mtx0 . mtx2 . n . naTriple . naTriplet . nall . nam.badCol . nam.goodCol . nam.mtx0 . napair . out1 . outOFsamp . outOFsell . p1 . parcorBMany . parcorBijk . parcorHijk . parcorHijk2 . parcorMany . parcorMtx . parcorSilent . parcorVec . parcorVecH . parcorVecH2 . parcor_ijk . parcor_ijkOLD . parcor_linear . parcor_ridg . pcause . pillar3D . prelec2 . probSign . rank2return . rank2sell . rhs.lag2 . rhs1 . ridgek . rij . rijMrji . rji . rrij . rrji . rstar . sales2Lag . salesLag . seed . sgn.e0 . siPair2Blk . siPairsBlk . silentMtx . silentMtx0 . silentPair2 . silentPairs . silentPairs0 . some0Pairs . someCPairs . someCPairs2 . someMagPairs . somePairs . somePairs2 . sort.abse0 . sort.e0 . sort_matrix . stdres . stdz_xy . stochdom2 . sudoCoefParcor . sudoCoefParcorH . summaryRank . symmze . wtdpapb . 
Some associated R codes: EuroCrime.R . GcRsqX12.R . GcRsqX12c.R . GcRsqYX.R . GcRsqYXc.R . NLhat.R . Panel2Lag.R . PanelLag.R . absBstdres.R . absBstdresC.R . absBstdrhserC.R . abs_res.R . abs_stdapd.R . abs_stdapdC.R . abs_stdres.R . abs_stdresC.R . abs_stdrhserC.R . abs_stdrhserr.R . allPairs.R . bigfp.R . bootDom12.R . bootGcLC.R . bootGcRsq.R . bootPair2.R . bootPairs.R . bootPairs0.R . bootQuantile.R . bootSign.R . bootSignPcent.R . bootSummary.R . bootSummary2.R . canonRho.R . causeAllPair.R . causeSum2Blk.R . causeSum2Panel.R . causeSumNoP.R . causeSummBlk.R . causeSummary.R . causeSummary0.R . causeSummary2.R . causeSummary2NoP.R . cofactor.R . compPortfo.R . comp_portfo2.R . crosspLarge.R . decileVote.R . depMeas.R . dif4.R . dif4mtx.R . exactSdMtx.R . generalCorrInfo.R . get0outliers.R . getSeq.R . gmcmtx0.R . gmcmtxBlk.R . gmcmtxZ.R . gmcxy_np.R . heurist.R . kern.R . kern2.R . kern2ctrl.R . kern_ctrl.R . mag.R . mag_ctrl.R . minor.R . momentVote.R . naTriple.R . naTriplet.R . napair.R . outOFsamp.R . outOFsell.R . parcorBMany.R . parcorBijk.R . parcorHijk.R . parcorHijk2.R . parcorMany.R . parcorMtx.R . parcorSilent.R . parcorVec.R . parcorVecH.R . parcorVecH2.R . parcor_ijk.R . parcor_ijkOLD.R . parcor_linear.R . parcor_ridg.R . pcause.R . pillar3D.R . prelec2.R . probSign.R . rank2return.R . rank2sell.R . rstar.R . siPair2Blk.R . siPairsBlk.R . silentMtx.R . silentMtx0.R . silentPair2.R . silentPairs.R . silentPairs0.R . some0Pairs.R . someCPairs.R . someCPairs2.R . someMagPairs.R . somePairs.R . somePairs2.R . sort_matrix.R . stdres.R . stdz_xy.R . stochdom2.R . sudoCoefParcor.R . sudoCoefParcorH.R . summaryRank.R . symmze.R . wtdpapb.R .  Full generalCorr package functions and examples
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