xiacf: Nonlinear Dependence and Lead-Lag Analysis via Chatterjee's Xi
Computes Chatterjee's non-parametric correlation coefficient for time series data. It extends the original metric to time series analysis by providing the Xi-Autocorrelation Function (Xi-ACF) and Xi-Cross-Correlation Function (Xi-CCF). The package allows users to test for non-linear dependence using Iterative Amplitude Adjusted Fourier Transform (IAAFT) surrogate data with strict Family-Wise Error Rate ('FWER') control via Max-statistic approaches. Methodologies are based on Chatterjee (2021) <doi:10.1080/01621459.2020.1758115> and surrogate data testing methods by Schreiber and Schmitz (1996) <doi:10.1103/PhysRevLett.77.635>.
| Version: |
0.5.0 |
| Imports: |
dplyr (≥ 1.1.4), doFuture, foreach, future, ggplot2 (≥
4.0.1), patchwork, progressr, Rcpp (≥ 1.1.0), stats |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat (≥ 3.3.2) |
| Published: |
2026-05-17 |
| DOI: |
10.32614/CRAN.package.xiacf |
| Author: |
Yasunori Watanabe [aut, cre] |
| Maintainer: |
Yasunori Watanabe <watanabe.yasunori at outlook.com> |
| License: |
MIT + file LICENSE |
| NeedsCompilation: |
yes |
| Citation: |
xiacf citation info |
| Materials: |
README, NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
xiacf results |
Documentation:
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