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generalCorr
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]
[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 21 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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