[R-SIG-Finance] determine non-linear correlation

Stefan Grosse singularitaet at gmx.net
Thu Jun 4 18:02:21 CEST 2009


On Wed, 3 Jun 2009 12:15:17 -0700 (PDT) Mark Breman
<m.breman at yahoo.com> wrote:

MB> I would like to know if two financial time-series are nonlinear
MB> correlated, and if so, what that correlation function is. Is there
MB> an easy way to do this with R?

Maybe you should be more specific about what you want to do? Test for
nonlinear cointegration? If that is the case:

http://cran.r-project.org/web/views/TimeSeries.html
is a starter. 


Stefan



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