Message-ID: <20090604180221.2ed7c992@gmx.net>
Date: 2009-06-04T16:02:21Z
From: Stefan Grosse
Subject: determine non-linear correlation
In-Reply-To: <90598.5865.qm@web38605.mail.mud.yahoo.com>
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