The xiacf package provides a robust framework for detecting complex non-linear and functional dependence in time series data. Traditional linear metrics, such as the standard Autocorrelation Function (ACF) and Cross-Correlation Function (CCF), often fail to detect symmetrical or purely non-linear relationships.
This package overcomes these limitations by utilizing Chatterjee’s
Rank Correlation (RcppArmadillo.
-
Non-linear Autocorrelation (
$\xi$ -ACF): Detect time-dependent structures that standard linear ACF completely misses (e.g., chaotic systems, volatility clustering). -
Multivariate Cross-Correlation (
$\xi$ -CCF): Uncover hidden non-linear lead-lag relationships between two different time series. -
Strict FWER Control: To prevent data snooping across multiple lags
and variable pairs,
xiacfstrictly controls the Family-Wise Error Rate (FWER) using the Max-statistic approach. It provides a robust “Global Threshold” to confidently identify true non-linear dynamics. - MIAAFT Surrogate Testing: Rigorous null hypothesis testing using Multivariate Iterative Amplitude Adjusted Fourier Transform (MIAAFT). It preserves the exact marginal distributions and the instantaneous (lag-0) linear cross-correlation while destroying lagged non-linear dependence.
- High Performance C++ Engine: Core algorithms are heavily optimized in C++ to handle computationally intensive surrogate iterations simultaneously across all lags and pairs.
You can install the stable version of xiacf from CRAN with:
install.packages("xiacf")You can install the development version from GitHub with:
# install.packages("remotes")
remotes::install_github("yetanothersu/xiacf")Here is a basic example showing how to compute and visualize the
library(xiacf)
library(ggplot2)
# Generate a chaotic Logistic Map: x_{t+1} = r * x_t * (1 - x_t)
set.seed(42)
n <- 500
x <- numeric(n)
x[1] <- 0.1
r <- 4.0 # Fully chaotic regime
for (t in 1:(n - 1)) {
x[t + 1] <- r * x[t] * (1 - x[t])
}
# 1. Run the Xi-ACF test
# Computes up to 10 lags. Default n_surr = 399 controls FWER at sig_level = 0.05.
results <- xi_acf(x, max_lag = 10)
# Print summary
print(results)
#>
#> === Univariate Xi-Autocorrelation Function ===
#> Time series length: 500
#> Max Lag: 10
#> Surrogates (IAAFT): 399
#> Significance Level: 0.05 (FWER controlled)
#> ==============================================
#> Significant Lags:
#> Lag Xi Global_Threshold Xi_Excess
#> 1 0.9919920 0.3812919 0.61070012
#> 2 0.9839923 0.3812919 0.60270041
#> 3 0.9681476 0.3812919 0.58685570
#> 4 0.9375611 0.3812919 0.55626920
#> 5 0.8802274 0.3812919 0.49893548
#> 6 0.7783380 0.3812919 0.39704613
#> 7 0.6318376 0.3812919 0.25054570
#> 8 0.4731095 0.3812919 0.09181757
#> 9 0.4007648 0.3812919 0.01947289
# 2. Visualize the results
# Significant non-linear lags (piercing the gray FWER ribbon) are highlighted
# with filled red triangles.
autoplot(results)
Comparison between standard linear ACF and Chatterjee’s Xi-ACF.
While the standard CCF is symmetric in its linear evaluation, xi_ccf()
evaluates the directional non-linear lead-lag relationship. It
computes both “$X$ leads
# Generate a pure non-linear lead-lag relationship
# Y is driven by the square of X from 1 period ago.
set.seed(42)
n <- 300
X <- rnorm(n)
Y <- c(0, X[-n]^2) + rnorm(n, sd = 0.1)
# Run the directional Xi-CCF test
ccf_results <- xi_ccf(X, Y, max_lag = 5)
# Visualize the differential diagnosis
# Standard CCF (blue dashed line) misses the squared relationship, but Xi-CCF (red line)
# correctly detects that X leads Y by 1 period.
autoplot(ccf_results)
For datasets with more than two variables, computing pairwise relationships one by one is computationally expensive and inflates false positives.
xi_matrix() leverages an n-dimensional MIAAFT C++ engine to
compute all directional relationships simultaneously. It generates the
multivariate surrogate matrix only once per iteration and strictly
controls the FWER across the entire network.
# Generate a chain of non-linear causality: A -> B -> C
set.seed(42)
n <- 300
A <- runif(n, min = -2, max = 2)
B <- numeric(n)
C <- numeric(n)
for (t in 1:n) {
if (t >= 3) B[t] <- A[t - 2]^2 + rnorm(1, sd = 0.5)
if (t >= 2) C[t] <- abs(B[t - 1]) + rnorm(1, sd = 0.5)
}
df_network <- data.frame(A, B, C)
# Compute the multivariate Xi-correlogram matrix
res_matrix <- xi_matrix(df_network, max_lag = 4, n_surr = 799)
# Plot the entire network of causal relationships
autoplot(res_matrix)
Once the heavy matrix calculation is done, you can instantly extract individual ACF or CCF objects for detailed inspection against linear baselines without re-running the surrogates.
# Extract the relationship between A and C (Indirect effect)
# Passing the original data allows calculation of the standard linear CCF for comparison
ccf_A_C <- extract_xi_ccf(res_matrix, var_x = "A", var_y = "C", x_raw = df_network)
autoplot(ccf_A_C)
For advanced market microstructure or structural break detection, you
can run rolling analyses. The functions support robust parallel
processing via the future ecosystem and seamlessly integrate with
timestamps.
library(ggplot2)
# Generate dummy time series data with a structural break
set.seed(123)
dates <- seq(as.Date("2020-01-01"), by = "1 day", length.out = 300)
X <- rnorm(300)
Y <- numeric(300)
# First half (Day 1-150): X leads Y by 3 days (non-linear relationship)
Y[1:150] <- c(rnorm(3), abs(X[1:147])) + rnorm(150, sd = 0.1)
# Second half (Day 151-300): The relationship breaks down (pure noise)
Y[151:300] <- rnorm(150)
# Run rolling Xi-CCF with time_index
rolling_res <- run_rolling_xi_ccf(
x = X,
y = Y,
time_index = dates,
window_size = 100,
step_size = 5,
max_lag = 5,
n_surr = 199, # Reduced for vignette speed
n_cores = 2 # Set to NULL for sequential execution
)
# Visualize the dynamic relationship as a beautiful heatmap
ggplot(rolling_res, aes(x = Window_End_Time, y = Lag, fill = Xi_Excess)) +
geom_tile() +
scale_fill_gradient(low = "white", high = "firebrick") +
geom_hline(yintercept = 0, color = "black", linewidth = 0.5) +
scale_y_continuous(breaks = -5:5) +
scale_x_date(date_labels = "%Y-%m") +
labs(
title = "Rolling Directional Xi-CCF Heatmap",
subtitle = "Detecting structural breaks in non-linear lead-lag dynamics",
x = "Date",
y = "Lag (Positive: X leads Y, Negative: Y leads X)",
fill = "Excess Xi\n(Above FWER)"
) +
theme_minimal()
- Chatterjee, S. (2021). A new coefficient of correlation. Journal of the American Statistical Association, 116(536), 2009-2022.
This project is licensed under the MIT License - see the LICENSE file for details.