Fast Running Correlation Computation

Source: R/core_func.R

Computes running correlation between time-series x and short-time pattern y.

RunningCor(x, y, circular = FALSE)

Arguments

x

A numeric vector.
y

A numeric vector, of equal or shorter length than x.
circular

logical; whether running correlation is computed assuming circular nature of x time-series (see Details).

Value

A numeric vector.

Details

Computes running correlation between time-series x and short-time pattern y. The length of output vector equals the length of x. Parameter circular determines whether x time-series is assumed to have a circular nature. Assume \(l_x\) is the length of time-series x, \(l_y\) is the length of short-time pattern y.

If circular equals TRUE then

  • first element of the output vector corresponds to sample correlation between x[1:l_y] and y,

  • last element of the output vector corresponds to sample correlation between c(x[l_x], x[1:(l_y - 1)]) and y.

If circular equals FALSE then

  • first element of the output vector corresponds to sample correlation between x[1:l_y] and y,

  • the \(l_x - W + 1\)-th element of the output vector corresponds to sample correlation between x[(l_x - l_y + 1):l_x],

  • last W-1 elements of the output vector are filled with NA.

See runstats.demo(func.name = "RunningCor") for a detailed presentation.

Examples

x <- sin(seq(0, 1, length.out = 1000) * 2 * pi * 6)
y <- x[1:100]
out1 <- RunningCor(x, y, circular = TRUE)
out2 <- RunningCor(x, y, circular = FALSE)
plot(out1, type = "l"); points(out2, col = "red")