Package: xiacf 0.6.5

xiacf: Nonlinear Dependence and Lead-Lag Analysis via Chatterjee's Xi

Computes Chatterjee's non-parametric correlation coefficient for time series data. It extends the original metric to time series analysis by providing the univariate Xi-Autocorrelation Function (Xi-ACF), directional Xi-Cross-Correlation Function (Xi-CCF), and multivariate network evaluation matrices. The package allows users to test for non-linear dependence using Iterative Amplitude Adjusted Fourier Transform (IAAFT) and Multivariate IAAFT (MIAAFT) surrogate data with strict Family-Wise Error Rate ('FWER') control via Max-statistic approaches. Methodologies are based on Chatterjee (2021) <doi:10.1080/01621459.2020.1758115>, surrogate data testing methods by Schreiber and Schmitz (1996) <doi:10.1103/PhysRevLett.77.635>, and local structural identification by Watanabe (2026) <doi:10.2139/ssrn.6829431>.

Authors:Yasunori Watanabe [aut, cre]

xiacf_0.6.5.tar.gz
xiacf_0.6.4.zip(r-4.7)xiacf_0.6.5.zip(r-4.6)xiacf_0.6.5.zip(r-4.5)
xiacf_0.6.5.tgz(r-4.6-x86_64)xiacf_0.6.5.tgz(r-4.6-arm64)xiacf_0.6.5.tgz(r-4.5-x86_64)xiacf_0.6.5.tgz(r-4.5-arm64)
xiacf_0.6.5.tar.gz(r-4.7-arm64)xiacf_0.6.5.tar.gz(r-4.7-x86_64)xiacf_0.6.5.tar.gz(r-4.6-arm64)xiacf_0.6.5.tar.gz(r-4.6-x86_64)
xiacf_0.6.5.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
xiacf/json (API)
NEWS

# Install 'xiacf' in R:
install.packages('xiacf', repos = c('https://yetanothersu.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/yetanothersu/xiacf/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

chatterjee-correlationeconometricsrcpprcpparmadillotime-seriescpp

3.60 score 3 scripts 647 downloads 22 exports 39 dependencies

Last updated from:4688f20d0d. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK159
linux-devel-x86_64OK155
source / vignettesOK199
linux-release-arm64OK148
linux-release-x86_64OK145
macos-release-arm64OK174
macos-release-x86_64OK374
macos-oldrel-arm64OK105
macos-oldrel-x86_64OK252
windows-develOK193
windows-releaseOK139
windows-oldrelOK140
wasm-releaseOK126

Exports:autoplotcompute_xi_acf_iaaftcompute_xi_acf_maxstat_cppcompute_xi_ccf_maxstat_cppcompute_xi_ccf_miaaftcompute_xi_matrix_maxstat_cppcompute_xi_matrix_miaaftextract_xi_acfextract_xi_ccfgenerate_iaaft_surrogategenerate_miaaft_surrogate_cppgenerate_miaaft_surrogatesrun_rolling_xi_acfrun_rolling_xi_analysisrun_rolling_xi_ccfsurrogate_iaaft_cppsurrogate_miaaft_cppxi_acfxi_ccfxi_coefficientxi_matrixxi_test

Dependencies:clicodetoolscpp11digestdoFuturedplyrfarverforeachfuturefuture.applygenericsggplot2globalsgluegtableisobanditeratorslabelinglifecyclelistenvmagrittrparallellypatchworkpillarpkgconfigprogressrR6RColorBrewerRcppRcppArmadillorlangS7scalestibbletidyselectutf8vctrsviridisLitewithr

Readme and manuals

Help Manual

Help pageTopics
Plot method for xi_acf objectsautoplot.xi_acf
Plot method for xi_ccf objectsautoplot.xi_ccf
Plot method for xi_matrix objectsautoplot.xi_matrix
Extract Univariate Xi-ACF from a Multivariate Xi-Matrixextract_xi_acf
Extract Bivariate Xi-CCF from a Multivariate Xi-Matrixextract_xi_ccf
Print method for xi_ccfprint.xi_ccf
Print method for xi_matrixprint.xi_matrix
Rolling Window Analysis for Xi-ACFrun_rolling_xi_acf
Rolling Directional Xi-CCF Analysisrun_rolling_xi_ccf
Generate Multiple IAAFT Surrogates (Univariate)surrogate_iaaft_cpp
Compute empirical Xi-ACF and its significance via IAAFT surrogatesprint.xi_acf xi_acf
Bivariate Xi-Cross-Correlation Functionxi_ccf
Compute Chatterjee's Xi coefficient (Exported to R)xi_coefficient
Multivariate Xi-Correlogram Matrixxi_matrix
Deprecated functions in xiacfcompute_xi_acf_iaaft compute_xi_ccf_miaaft compute_xi_matrix_miaaft generate_iaaft_surrogate generate_miaaft_surrogates generate_miaaft_surrogate_cpp run_rolling_xi_analysis surrogate_miaaft_cpp xiacf-deprecated xi_test