Cort {AnomalyScore} | R Documentation |
Temporal correlation coefficient
Description
Return the temporal correlations of two time series by first taking the lag one differences of each series and the computing the correlation coefficient.
Usage
Cort(S1, S2)
Arguments
S1 |
A vector representing a univariate time series |
S2 |
A second vector representing a univariate time series |
Value
A coefficient in the interval [-1,1]
representing the lag 1 correlation
See Also
Douzal-Chouakria, Ahlame, and Cecile Amblard. "Classification Trees for Time Series." Pattern Recognition 45, no. 3 (March 2012): 1076-91. doi:10.1016/j.patcog.2011.08.018
Examples
S1=rnorm(100)
S2=rnorm(100)
Cort(S1, S2)
[Package AnomalyScore version 0.1 Index]