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- library(zoo)
- g_test <- function(x, y, w = 20, l = 1000) {
- cor_fun <- function(x) cor(x[,1], x[,2])
- ## benchmark
- d0 <- data.frame(x, y)
- c0 <- rollapply(d0, width = w, cor_fun, by.column = FALSE)
- ## l simulations
- di <- lapply(1:l, function(f) {
- data.frame(x, rnorm(length(x), mean = mean(y), sd = sd(y)))
- })
- ci <- lapply(sim, function(x) rollapply(x, width = w, cor_fun,
- by.column = FALSE))
- ## get sds and compare
- s0 <- sd(c0)
- si <- sapply(ci, sd)
- ecdf(si)(s0)
- }
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