[R] [r] How to obtain the correlation coefficients between two variables in the R object
PIKAL Petr
petr@p|k@| @end|ng |rom prechez@@cz
Mon Nov 25 17:06:53 CET 2019
Hi
Without knowing much about functions you use, instead of plotting you could
save results of rcor(dcc.fit, type="R") to
something <- rcor(dcc.fit, type="R")
and use
str(something) to inspect the structure.
Cheers
Petr
> -----Original Message-----
> From: R-help <r-help-bounces using r-project.org> On Behalf Of Subhamitra
> Patra
> Sent: Monday, November 25, 2019 2:46 PM
> To: Michael Dewey <lists using dewey.myzen.co.uk>; r-help mailing list <r-
> help using r-project.org>
> Subject: Re: [R] [r] How to obtain the correlation coefficients between
two
> variables in the R object
>
> Thank you for your suggestion. Actually, the correlation is coming in the
> DCC model through my above code which I am able to plot it. Is there any
> solution that I can extract data from a particular plot. Actually, I am
> able to obtain the correlation matrix, but I need the correlation
> coefficient series indicating the correlation coefficients between the two
> variables.
>
>
>
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> 11/25/19,
> 07:12:49 PM
>
> On Mon, Nov 25, 2019 at 7:10 PM Michael Dewey
> <lists using dewey.myzen.co.uk>
> wrote:
>
> > To get multiple plots on the same physical page try
> > ?layout
> > ot look through the various option under
> > ?par
> >
> > I do not know enough about DCC models to answer how you get
> correlations.
> >
> > Michael
> >
> > On 25/11/2019 10:34, Subhamitra Patra wrote:
> > > Dear R-users,
> > >
> > > I am estimating the DCC-model by using the following code and
> > successfully
> > > making the individual plots indicating the dynamic correlation between
> > the
> > > two variables stored in the R data frame (namely dcc.fit in my code).
My
> > > code is
> > >
> > > Dat = Date2[,2:13, drop = FALSE]
> > > library(rmgarch)
> > > library(rugarch)
> > > xspec = ugarchspec(mean.model = list(armaOrder = c(1, 1)),
> > variance.model =
> > > list(garchOrder = c(1,1), model = 'eGARCH'), distribution.model =
'norm')
> > > uspec = multispec(replicate(12, xspec)) # Define a function using
xspec
> > > dcc.garch11spec = dccspec(uspec = uspec, dccOrder = c(1, 1),
> > distribution =
> > > 'mvnorm')
> > > dcc.fit = dccfit(dcc.garch11spec, data = Dat)
> > > r1=rcor(dcc.fit, type="R")
> > > print(r1)
> > >
> > > Here, I need to obtain the DCC relationship between the two variables.
I
> > > successfully make a separate plot for the correlation between the two
> > > variables with the following code.
> > > plot(rcor(dcc.fit, type="R")['A1','A2',], type='l')
> > > plot(rcor(dcc.fit, type="R")['B1','B2',], type='l')
> > > plot(rcor(dcc.fit, type="R")['C1','C2',], type='l')
> > > plot(rcor(dcc.fit, type="R")['D1','D2',], type='l')
> > > plot(rcor(dcc.fit, type="R")['E1','E2',], type='l')
> > > plot(rcor(dcc.fit, type="R")['F1','F2',], type='l')
> > >
> > > Here, I request your help on two things which I am unable to do.
> > >
> > > 1. I need to arrange all the above individual plots (counted as 6) on
one
> > > page.
> > > 2. I need to obtain the correlation coefficients between the
particular
> > two
> > > variables (i.e. A1 versus A2, B1 versus B2, .......so on) throughout
the
> > > entire period.
> > >
> > > For your convenience, I have attached my sample data.
> > >
> > > I definitely expect a positive help from the experts as the
suggestions
> > > from the expert through this R forum has always solved my previous
> > problem.
> > >
> > > Thank you.
> > >
> >
> > --
> > Michael
> > http://www.dewey.myzen.co.uk/home.html
> >
>
>
> --
> *Best Regards,*
> *Subhamitra Patra*
> *Phd. Research Scholar*
> *Department of Humanities and Social Sciences*
> *Indian Institute of Technology, Kharagpur*
> *INDIA*
>
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>
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