PartialCorrelations function

Partial Contemporaneous Correlations

Get partial contemporaneous correlations

PartialCorrelations(Q)

Arguments

• Q: variance-covariance matrix

Returns

Get partial contemporaneous correlations

Examples

data(dy2012)
fit = VAR(dy2012, configuration=list(nlag=1))
pcc = PartialCorrelations(fit$Q)

References

Dahlhaus, R., & Eichler, M. (2003). Causality and graphical models in time series analysis. Oxford Statistical Science Series, 115-137.

Author(s)

David Gabauer