Correlation structural breaks variable 2

Simulated data showing correlation structural breaks in Figure 4 of Fernández-Macho (2018).

data("xrand")

Format

A data frame with 512 observations on 1 variables.

xrand2

a numeric vector

Details

\(xrand1[t]\) and \(xrand2[t]\) are highly correlated at low frequencies (long timescales) but uncorrelated at high frequencies (short timescales). However, during a period of time spanning the second third of the sample (\(T/3<t<2T/3\)) that behavior is reversed so that data become highly correlated at short timescales but uncorrelated at low frequencies.

References

Fernández-Macho, J., 2018. Time-localized wavelet multiple regression and correlation, Physica A, 492, https://doi.org/10.1016/j.physa.2017.11.050

Examples

data(xrand)
## maybe str(xrand) ; plot(xrand) ...