Plot correlations between multiple time series.

Load data on Canadian inflation and interest rates.

Plot the Pearson's linear correlation coefficients between all pairs of variables.

The correlation plot shows that the short-term, medium-term, and long-term interest rates are highly correlated.

To examine the timestamp of a datum, enter `gname(dates)`

into the Command Window, and the software presents an interactive cross hair over the plot. To expose the timestamp of a datum, click it using the cross hair.

Plot Kendall's rank correlations between multiple time series. Conduct a hypothesis test to determine which correlations are significantly different from zero.

Load data on Canadian inflation and interest rates.

Plot the Kendall's rank correlation coefficients between all pairs of variables. Specify a hypothesis test to determine which correlations are significantly different from zero.

The correlation coefficients highlighted in red indicate which pairs of variables have correlations significantly different from zero. For these time series, all pairs of variables have correlations significantly different from zero.

Test for correlations greater than zero between multiple time series.

Load data on Canadian inflation and interest rates.

Return the pairwise Pearson's correlations and corresponding p-values for testing the null hypothesis of no correlation against the right-tailed alternative that the correlations are greater than zero.

PValue =
1.0000 0.0000 0.0000 0.0000 0.0000
0.0000 1.0000 0.0000 0.0000 0.0001
0.0000 0.0000 1.0000 0.0000 0.0000
0.0000 0.0000 0.0000 1.0000 0.0000
0.0000 0.0001 0.0000 0.0000 1.0000

The output `PValue`

has pairwise p-values all less than the default 0.05 significance level, indicating that all pairs of variables have correlation significantly greater than zero.