find_dataleaks function

Correlation calculation based on rolling window with overlapping observations.

find_dataleaks(lstx, h, cutoff = 1)

Arguments

• lstx: list of time series
• h: length of forecast horizon
• cutoff: benchmark value for corr absolute value, default 1

Returns

list of matching quantities

Examples

a = rnorm(15)
lst <- list(
 a = a,
 b = c(a[10:15], rnorm(10), a[1:5], a[1:5]),
 c = c(rnorm(10), a[1:5])
)
find_dataleaks(lst, h=5)
#' a = rnorm(15)
lst <- list(
 x= a,
 y= c(rnorm(10), a[1:5])
)

find_dataleaks(lst, h=5)

# List without naming elements
lst <- list(
 a,
 c(rnorm(10), a[1:5], a[1:5]),
 rnorm(10)
)
find_dataleaks(lst, h=5)