Package: generalCorr 1.2.6
generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection
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}.
Authors:
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generalCorr.pdf |generalCorr.html✨
generalCorr/json (API)
NEWS
# Install 'generalCorr' in R: |
install.packages('generalCorr', repos = c('https://hdvinod.r-universe.dev', 'https://cloud.r-project.org')) |
- EuroCrime - European Crime Data
- badCol - Internal badCol
- da - Internal da
- da2Lag - Internal da2Lag
- diff.e0 - Internal diff.e0
- dig - Internal dig
- e0 - Internal e0
- gmc0 - Internal gmc0
- gmc1 - Internal gmc1
- goodCol - Internal goodCol
- i - Internal i
- j - Internal j
- min.e0 - Internal min.e0
- mtx - Internal mtx
- mtx0 - Internal mtx0
- mtx2 - Internal mtx2
- n - Internal n
- nall - Internal nall
- nam.badCol - Internal nam.badCol
- nam.goodCol - Internal nam.goodCol
- nam.mtx0 - Internal nam.mtx0
- out1 - Internal out1
- p1 - Internal p1
- rhs.lag2 - Internal rhs.lag2
- rhs1 - Internal rhs1
- ridgek - Internal ridgek
- rij - Internal rij
- rijMrji - Internal rijMrji
- rji - Internal rji
- rrij - Internal rrij
- rrji - Internal rrji
- sales2Lag - Internal sales2Lag
- salesLag - Internal salesLag
- seed - Internal seed
- sgn.e0 - Internal sgn.e0
- sort.abse0 - Internal sort.abse0
- sort.e0 - Internal sort.e0
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 1 years agofrom:c9fa07dcd3. Checks:OK: 3 NOTE: 4. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 04 2024 |
R-4.5-win | NOTE | Nov 04 2024 |
R-4.5-linux | NOTE | Nov 04 2024 |
R-4.4-win | NOTE | Nov 04 2024 |
R-4.4-mac | NOTE | Nov 04 2024 |
R-4.3-win | OK | Nov 04 2024 |
R-4.3-mac | OK | Nov 04 2024 |
Exports:abs_resabs_stdapdabs_stdapdCabs_stdresabs_stdresCabs_stdrhserCabs_stdrhserrabsBstdresabsBstdresCabsBstdrhserCallPairsbigfpbootDom12bootGcLCbootGcRsqbootPair2bootPairsbootPairs0bootQuantilebootSignbootSignPcentbootSummarybootSummary2canonRhocauseAllPaircauseSum2BlkcauseSum2PanelcauseSummarycauseSummary0causeSummary2causeSummary2NoPcauseSummBlkcauseSumNoPcofactorcomp_portfo2compPortfodecileVotedepMeasdif4dif4mtxexactSdMtxGcRsqX12GcRsqX12cGcRsqYXGcRsqYXcget0outliersgetSeqgmcmtx0gmcmtxBlkgmcmtxZgmcxy_npheuristkernkern_ctrlkern2kern2ctrlmagmag_ctrlminormomentVotenapairnaTriplenaTripletNLhatoutOFsampoutOFsellPanel2LagPanelLagparcor_ijkparcor_ijkOLDparcor_linearparcor_ridgparcorBijkparcorBManyparcorHijkparcorHijk2parcorManyparcorMtxparcorSilentparcorVecparcorVecHparcorVecH2pcausepillar3Dprelec2probSignrank2returnrank2sellrstarsilentMtxsilentMtx0silentPair2silentPairssilentPairs0siPair2BlksiPairsBlksome0PairssomeCPairssomeCPairs2someMagPairssomePairssomePairs2sort_matrixstdresstdz_xystochdom2sudoCoefParcorsudoCoefParcorHsummaryRanksymmzewtdpapb
Dependencies:abindashbackportsbootbroomcarcarDataclicolorspacecowplotcpp11cubatureDerivdoBydplyrdynlmfansifarverFNNFormulagenericsggplot2glueGPArotationgtablehdrcdeisobandkernlabKernSmoothkslabelinglatticelifecyclelme4lmtestlocfitmagrittrMASSMatrixMatrixModelsmclustmebootmgcvmicrobenchmarkminqamnormtmodelrmulticoolmunsellmvtnormnlmenloptrnnetnpnumDerivpbkrtestpillarpkgconfigpracmapsychpurrrquadprogquantregR6RColorBrewerRcppRcppEigenrlangscalesSparseMstringistringrsurvivaltdigesttibbletidyrtidyselectutf8vctrsviridisLitewithrxtablezoo
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