xiacf
Quantifying Nonlinear Dependence and Lead-Lag Dynamics 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 Xi-Autocorrelation Function (Xi-ACF) and Xi-Cross-Correlation Function (Xi-CCF). The package allows users to test for non-linear dependence using Iterative Amplitude Adjusted Fourier Transform (IAAFT) surrogate data. Main functions include xi_acf() and xi_ccf() for computation, along with matrix extraction tools. Methodologies are based on Chatterjee (2021) <doi:10.1080/01621459.2020.1758115> and surrogate data testing methods by Schreiber and Schmitz (1996) <doi:10.1103/PhysRevLett.77.635>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.4.0 |
rolling linux/jammy R-4.5 | xiacf_0.4.0.tar.gz |
384.5 KiB |
0.4.0 |
rolling linux/noble R-4.5 | xiacf_0.4.0.tar.gz |
388.5 KiB |
0.4.0 |
rolling source/ R- | xiacf_0.4.0.tar.gz |
255.5 KiB |
0.4.0 |
latest linux/jammy R-4.5 | xiacf_0.4.0.tar.gz |
384.5 KiB |
0.4.0 |
latest linux/noble R-4.5 | xiacf_0.4.0.tar.gz |
388.5 KiB |
0.4.0 |
latest source/ R- | xiacf_0.4.0.tar.gz |
255.5 KiB |
0.4.0 |
2026-04-26 source/ R- | xiacf_0.4.0.tar.gz |
255.5 KiB |
0.4.0 |
2026-04-23 source/ R- | xiacf_0.4.0.tar.gz |
255.5 KiB |