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

Mark Breman m.breman at yahoo.com
Fri Jun 5 21:07:24 CEST 2009

Here is the thesis I was talking about (see attached pdf file)

I am working on an illustration (example) of the problem I'm trying to solve. I will post it to this group this weekend...



From: KAUSHIK BHATTACHARJEE <kabonline07 at yahoo.com>
To: Mark Breman <m.breman at yahoo.com>
Sent: Friday, June 5, 2009 1:18:55 PM
Subject: Re: [R-SIG-Finance] determine non-linear correlation

correlation by definition is a linear measure of assocation. So what is the presice definition of non-linear correlation?
can you give the thesis......I am curious to know....
 Kaushik Bhattacharjee

 From: Mark Breman <m.breman at yahoo.com>
To: r-sig-finance at stat.math.ethz.ch
Sent: Thursday, June 4, 2009 12:45:17 AM
Subject: [R-SIG-Finance] determine non-linear correlation

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?

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]]

R-SIG-Finance at stat.math.ethz.ch mailing list
-- Subscriber-posting only.
-- If you want to post, subscribe first.

-------------- next part --------------
An HTML attachment was scrubbed...
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20090605/2c209309/attachment.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: 20001203.pdf
Type: application/pdf
Size: 345537 bytes
Desc: not available
URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20090605/2c209309/attachment.pdf>

More information about the R-SIG-Finance mailing list