Using 6 columns of time series data, conduct pairwise analysis on all possible iterations (in R)
I have a dataframe mydf containing 6 columns of time series data.
I want to calculate the correlation of all this data, which can easily be done through cor(mydf). However, I want to multiply each of the correlations by the square root of the relevant long-run variances (I adopt an arbitrary autocorrelation lag of 5) of each pairwise column.
To demonstrate, val = cor(mydf[,1], mydf[,2])
cov_temp1 = acf(mydf[,1], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
cov_temp2 = acf(mydf[,2], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
s.e. = sqrt((cov_temp1[1]+2*sum(cov_temp1[-1]))/nrow(mydf) * (cov_temp2[1]+2*sum(cov_temp2[-1]))/nrow(mydf))
Then, the pairwise statistic for column 1 and 2 is val*s.e.. Assuming I have 6 columns of data, which I do, I want to construct the same statistic for all iterations of pairwise columns and then sum them up. I am not entirely sure how to proceed?
r
asked Nov 13 '18 at 9:41
TheManRTheManR
154
add a comment |
I have a dataframe mydf containing 6 columns of time series data.
I want to calculate the correlation of all this data, which can easily be done through cor(mydf). However, I want to multiply each of the correlations by the square root of the relevant long-run variances (I adopt an arbitrary autocorrelation lag of 5) of each pairwise column.
To demonstrate, val = cor(mydf[,1], mydf[,2])
cov_temp1 = acf(mydf[,1], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
cov_temp2 = acf(mydf[,2], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
s.e. = sqrt((cov_temp1[1]+2*sum(cov_temp1[-1]))/nrow(mydf) * (cov_temp2[1]+2*sum(cov_temp2[-1]))/nrow(mydf))
Then, the pairwise statistic for column 1 and 2 is val*s.e.. Assuming I have 6 columns of data, which I do, I want to construct the same statistic for all iterations of pairwise columns and then sum them up. I am not entirely sure how to proceed?
r
asked Nov 13 '18 at 9:41
TheManRTheManR
154
add a comment |
I have a dataframe mydf containing 6 columns of time series data.
I want to calculate the correlation of all this data, which can easily be done through cor(mydf). However, I want to multiply each of the correlations by the square root of the relevant long-run variances (I adopt an arbitrary autocorrelation lag of 5) of each pairwise column.
To demonstrate, val = cor(mydf[,1], mydf[,2])
cov_temp1 = acf(mydf[,1], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
cov_temp2 = acf(mydf[,2], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
s.e. = sqrt((cov_temp1[1]+2*sum(cov_temp1[-1]))/nrow(mydf) * (cov_temp2[1]+2*sum(cov_temp2[-1]))/nrow(mydf))
Then, the pairwise statistic for column 1 and 2 is val*s.e.. Assuming I have 6 columns of data, which I do, I want to construct the same statistic for all iterations of pairwise columns and then sum them up. I am not entirely sure how to proceed?
r
asked Nov 13 '18 at 9:41
TheManRTheManR
154
I have a dataframe mydf containing 6 columns of time series data.
I want to calculate the correlation of all this data, which can easily be done through cor(mydf). However, I want to multiply each of the correlations by the square root of the relevant long-run variances (I adopt an arbitrary autocorrelation lag of 5) of each pairwise column.
To demonstrate, val = cor(mydf[,1], mydf[,2])
cov_temp1 = acf(mydf[,1], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
cov_temp2 = acf(mydf[,2], type = "covariance", lag.max = 5, plot = FALSE, na.action = na.pass)$acf
s.e. = sqrt((cov_temp1[1]+2*sum(cov_temp1[-1]))/nrow(mydf) * (cov_temp2[1]+2*sum(cov_temp2[-1]))/nrow(mydf))
Then, the pairwise statistic for column 1 and 2 is val*s.e.. Assuming I have 6 columns of data, which I do, I want to construct the same statistic for all iterations of pairwise columns and then sum them up. I am not entirely sure how to proceed?
r
r
asked Nov 13 '18 at 9:41
TheManRTheManR
154
asked Nov 13 '18 at 9:41
TheManRTheManR
154
asked Nov 13 '18 at 9:41
TheManRTheManR
154
asked Nov 13 '18 at 9:41
TheManRTheManR
154
asked Nov 13 '18 at 9:41
TheManRTheManR
154
154
add a comment |
add a comment |
0
active
oldest
votes
Your Answer
StackExchange.ifUsing("editor", function () {
StackExchange.using("externalEditor", function () {
StackExchange.using("snippets", function () {
StackExchange.snippets.init();
});
});
}, "code-snippets");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "1"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fstackoverflow.com%2fquestions%2f53278021%2fusing-6-columns-of-time-series-data-conduct-pairwise-analysis-on-all-possible-i%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
0
active
oldest
votes
0
active
oldest
votes
active
oldest
votes
active
oldest
votes
Thanks for contributing an answer to Stack Overflow!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
To learn more, see our tips on writing great answers.
Some of your past answers have not been well-received, and you're in danger of being blocked from answering.
Please pay close attention to the following guidance:
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fstackoverflow.com%2fquestions%2f53278021%2fusing-6-columns-of-time-series-data-conduct-pairwise-analysis-on-all-possible-i%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
