[R-SIG-Finance] determine non-linear correlation
landronimirc at gmail.com
Wed Jun 3 21:51:16 CEST 2009
On Wed, Jun 3, 2009 at 9:15 PM, Mark Breman <m.breman at yahoo.com> wrote:
> I would like to know if two financial time-series are nonlinear correlated, and if so, what that correlation function is.
> Is there an easy way to do this with R?
What about non-parametric correlation coefficients? They are based on
ranks, and should detect any monotonic relationship between the time
series. Check ?cor and ?cor.test methods "spearman" and "kendall", and
also the Wikipedia articles for further references.
> I have read a thesis about the "high order correlation coefficient to solve the nonlinear correlation problem" but I'm not able to translate this into a solution for my problem. All these statistics are very interesting but also challenging for me...
> Kind regards,
> [[alternative HTML version deleted]]
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