Function reference

Functions

*for the computation of the time-varying correlation

tcor() calc_rho() calc_RMSE() select_h()

Compute time varying correlation coefficients

*for non-parametric smoothing

kern_smooth()

Smoothing by kernel regression

*for statistical tests on time-varying correlations

test_equality()

Compute equality test between correlation coefficient estimates at two time points

test_ref()

Test difference between correlation coefficient estimates and a value of reference

*for the computation of the confidence intervals

calc_H() calc_e() calc_Gamma() calc_GammaINF() calc_L_And() calc_D() calc_SE()

Internal functions for the computation of confidence intervals

*miscellaneous

.onAttach()

Display welcome message

in_pkgdown()

Determine if the package is being used by pkgdown

Data

A dataset to illustrate functionalities:

stockprice

Daily Closing Prices of Major European Stock Indices, April 2000--December 2017