| | *The author of this computation has been verified* | R Software Module: Patrick.Wessa/rwasp_pairs.wasp (opens new window with default values) | Title produced by software: Kendall tau Correlation Matrix | Date of computation: Wed, 22 Dec 2010 10:08:49 +0000 | | Cite this page as follows: | Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/22/t12930127863ldt8ucr6dbwfe8.htm/, Retrieved Wed, 22 Dec 2010 11:13:10 +0100 | | BibTeX entries for LaTeX users: | @Manual{KEY,
author = {{YOUR NAME}},
publisher = {Office for Research Development and Education},
title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Dec/22/t12930127863ldt8ucr6dbwfe8.htm/},
year = {2010},
}
@Manual{R,
title = {R: A Language and Environment for Statistical Computing},
author = {{R Development Core Team}},
organization = {R Foundation for Statistical Computing},
address = {Vienna, Austria},
year = {2010},
note = {{ISBN} 3-900051-07-0},
url = {http://www.R-project.org},
}
| | Original text written by user: | | | IsPrivate? | No (this computation is public) | | User-defined keywords: | | | Dataseries X: | » Textbox « » Textfile « » CSV « | 162556 162556 1081 1081 213118 213118 230380558 6282929
29790 29790 309 309 81767 81767 25266003 4324047
87550 87550 458 458 153198 153198 70164684 4108272
84738 0 588 0 -26007 0 -15292116 -1212617
54660 54660 299 299 126942 126942 37955658 1485329
42634 42634 156 156 157214 157214 24525384 1779876
40949 0 481 0 129352 0 62218312 1367203
42312 42312 323 323 234817 234817 75845891 2519076
37704 37704 452 452 60448 60448 27322496 912684
16275 16275 109 109 47818 47818 5212162 1443586
25830 0 115 0 245546 0 28237790 1220017
12679 0 110 0 48020 0 5282200 984885
18014 18014 239 239 -1710 -1710 -408690 1457425
43556 0 247 0 32648 0 8064056 -572920
24524 24524 497 497 95350 95350 47388950 929144
6532 0 103 0 151352 0 15589256 1151176
7123 0 109 0 288170 0 31410530 790090
20813 20813 502 502 114337 114337 57397174 774497
37597 37597 248 248 37884 37884 9395232 990576
17821 0 373 0 122844 0 45820812 454195
12988 12988 119 119 82340 82340 9798460 876607
22330 22330 84 84 79801 79801 6703284 711969
etc... | | Output produced by software: | Enter (or paste) a matrix (table) containing all data (time) series. Every column represents a different variable and must be delimited by a space or Tab. Every row represents a period in time (or category) and must be delimited by hard returns. The easiest way to enter data is to copy and paste a block of spreadsheet cells. Please, do not use commas or spaces to seperate groups of digits!
Correlations for all pairs of data series (method=pearson) | | Costs | GrCosts | Trades | GrTrades | Dividends | GrDiv | TrDiv | Wealth
| Costs | 1 | 0.861 | 0.764 | 0.753 | 0.317 | 0.348 | 0.758 | 0.702 | GrCosts | 0.861 | 1 | 0.613 | 0.888 | 0.316 | 0.473 | 0.762 | 0.857 | Trades | 0.764 | 0.613 | 1 | 0.68 | 0.347 | 0.297 | 0.866 | 0.516 | GrTrades | 0.753 | 0.888 | 0.68 | 1 | 0.337 | 0.573 | 0.754 | 0.756 | Dividends | 0.317 | 0.316 | 0.347 | 0.337 | 1 | 0.437 | 0.539 | 0.442 | GrDiv | 0.348 | 0.473 | 0.297 | 0.573 | 0.437 | 1 | 0.385 | 0.406 | TrDiv | 0.758 | 0.762 | 0.866 | 0.754 | 0.539 | 0.385 | 1 | 0.723 | Wealth
| 0.702 | 0.857 | 0.516 | 0.756 | 0.442 | 0.406 | 0.723 | 1 |
Correlations for all pairs of data series with p-values | pair | Pearson r | Spearman rho | Kendall tau | Costs;GrCosts | 0.8606 | 0.4917 | 0.4377 | p-value | (0) | (0) | (0) | Costs;Trades | 0.7644 | 0.9357 | 0.8021 | p-value | (0) | (0) | (0) | Costs;GrTrades | 0.7526 | 0.4854 | 0.4108 | p-value | (0) | (0) | (0) | Costs;Dividends | 0.3169 | 0.428 | 0.3504 | p-value | (0) | (0) | (0) | Costs;GrDiv | 0.3476 | 0.2208 | 0.1753 | p-value | (0) | (0) | (0) | Costs;TrDiv | 0.7583 | 0.8971 | 0.7701 | p-value | (0) | (0) | (0) | Costs;Wealth
| 0.7019 | 0.3269 | 0.2405 | p-value | (0) | (0) | (0) | GrCosts;Trades | 0.6132 | 0.4501 | 0.3825 | p-value | (0) | (0) | (0) | GrCosts;GrTrades | 0.8881 | 0.9964 | 0.9571 | p-value | (0) | (0) | (0) | GrCosts;Dividends | 0.3156 | 0.3101 | 0.2584 | p-value | (0) | (0) | (0) | GrCosts;GrDiv | 0.4726 | 0.7962 | 0.7344 | p-value | (0) | (0) | (0) | GrCosts;TrDiv | 0.7625 | 0.4279 | 0.3631 | p-value | (0) | (0) | (0) | GrCosts;Wealth
| 0.8571 | 0.2496 | 0.2051 | p-value | (0) | (0) | (0) | Trades;GrTrades | 0.6798 | 0.4575 | 0.4094 | p-value | (0) | (0) | (0) | Trades;Dividends | 0.3472 | 0.4191 | 0.3349 | p-value | (0) | (0) | (0) | Trades;GrDiv | 0.2975 | 0.192 | 0.1557 | p-value | (0) | (1e-04) | (1e-04) | Trades;TrDiv | 0.8663 | 0.9562 | 0.918 | p-value | (0) | (0) | (0) | Trades;Wealth
| 0.5159 | 0.3575 | 0.2586 | p-value | (0) | (0) | (0) | GrTrades;Dividends | 0.3368 | 0.311 | 0.2626 | p-value | (0) | (0) | (0) | GrTrades;GrDiv | 0.5734 | 0.7986 | 0.7402 | p-value | (0) | (0) | (0) | GrTrades;TrDiv | 0.7544 | 0.4354 | 0.3811 | p-value | (0) | (0) | (0) | GrTrades;Wealth
| 0.756 | 0.2554 | 0.2077 | p-value | (0) | (0) | (0) | Dividends;GrDiv | 0.437 | 0.2956 | 0.2645 | p-value | (0) | (0) | (0) | Dividends;TrDiv | 0.5385 | 0.5341 | 0.4188 | p-value | (0) | (0) | (0) | Dividends;Wealth
| 0.4423 | 0.4309 | 0.3396 | p-value | (0) | (0) | (0) | GrDiv;TrDiv | 0.3846 | 0.2432 | 0.1986 | p-value | (0) | (0) | (0) | GrDiv;Wealth
| 0.406 | 0.1991 | 0.1564 | p-value | (0) | (0) | (0) | TrDiv;Wealth
| 0.7229 | 0.4011 | 0.2881 | p-value | (0) | (0) | (0) |
| | Charts produced by software: | | http://www.freestatistics.org/blog/date/2010/Dec/22/t12930127863ldt8ucr6dbwfe8/11s4m1293012516.png (open in new window) | http://www.freestatistics.org/blog/date/2010/Dec/22/t12930127863ldt8ucr6dbwfe8/11s4m1293012516.ps (open in new window) |
| | Parameters (Session): | par1 = pearson ; | | Parameters (R input): | par1 = pearson ; | | R code (references can be found in the software module): | panel.tau <- function(x, y, digits=2, prefix='', cex.cor)
{
usr <- par('usr'); on.exit(par(usr))
par(usr = c(0, 1, 0, 1))
rr <- cor.test(x, y, method=par1)
r <- round(rr$p.value,2)
txt <- format(c(r, 0.123456789), digits=digits)[1]
txt <- paste(prefix, txt, sep='')
if(missing(cex.cor)) cex <- 0.5/strwidth(txt)
text(0.5, 0.5, txt, cex = cex)
}
panel.hist <- function(x, ...)
{
usr <- par('usr'); on.exit(par(usr))
par(usr = c(usr[1:2], 0, 1.5) )
h <- hist(x, plot = FALSE)
breaks <- h$breaks; nB <- length(breaks)
y <- h$counts; y <- y/max(y)
rect(breaks[-nB], 0, breaks[-1], y, col='grey', ...)
}
bitmap(file='test1.png')
pairs(t(y),diag.panel=panel.hist, upper.panel=panel.smooth, lower.panel=panel.tau, main=main)
dev.off()
load(file='createtable')
n <- length(y[,1])
n
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,paste('Correlations for all pairs of data series (method=',par1,')',sep=''),n+1,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,' ',header=TRUE)
for (i in 1:n) {
a<-table.element(a,dimnames(t(x))[[2]][i],header=TRUE)
}
a<-table.row.end(a)
for (i in 1:n) {
a<-table.row.start(a)
a<-table.element(a,dimnames(t(x))[[2]][i],header=TRUE)
for (j in 1:n) {
r <- cor.test(y[i,],y[j,],method=par1)
a<-table.element(a,round(r$estimate,3))
}
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Correlations for all pairs of data series with p-values',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'pair',1,TRUE)
a<-table.element(a,'Pearson r',1,TRUE)
a<-table.element(a,'Spearman rho',1,TRUE)
a<-table.element(a,'Kendall tau',1,TRUE)
a<-table.row.end(a)
cor.test(y[1,],y[2,],method=par1)
for (i in 1:(n-1))
{
for (j in (i+1):n)
{
a<-table.row.start(a)
dum <- paste(dimnames(t(x))[[2]][i],';',dimnames(t(x))[[2]][j],sep='')
a<-table.element(a,dum,header=TRUE)
rp <- cor.test(y[i,],y[j,],method='pearson')
a<-table.element(a,round(rp$estimate,4))
rs <- cor.test(y[i,],y[j,],method='spearman')
a<-table.element(a,round(rs$estimate,4))
rk <- cor.test(y[i,],y[j,],method='kendall')
a<-table.element(a,round(rk$estimate,4))
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'p-value',header=T)
a<-table.element(a,paste('(',round(rp$p.value,4),')',sep=''))
a<-table.element(a,paste('(',round(rs$p.value,4),')',sep=''))
a<-table.element(a,paste('(',round(rk$p.value,4),')',sep=''))
a<-table.row.end(a)
}
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
| |
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