determine non-linear correlation
On Wed, 3 Jun 2009 12:15:17 -0700 (PDT) Mark Breman
<m.breman at yahoo.com> wrote:
MB> I would like to know if two financial time-series are nonlinear MB> correlated, and if so, what that correlation function is. Is there MB> an easy way to do this with R? Maybe you should be more specific about what you want to do? Test for nonlinear cointegration? If that is the case: http://cran.r-project.org/web/views/TimeSeries.html is a starter. Stefan