public class CrossCorrelationEx1 extends Object
Computes the cross-covariances and cross-correlations for the gas furnace data.
Consider the Gas Furnace Data (Box and Jenkins 1976, pages 532-533) where
X
is the input gas rate in cubic feet/minute and Y is the percent
\(CO_2\) in the outlet gas. The CrossCorrelation methods
getCrossCovariance and getCrossCorrelation are used
to compute the cross-covariances and cross-correlations between time series
X and
Y with lags from -maximum_lag = -10 through lag
maximum_lag = 10. In addition, the estimated standard errors of
the estimated cross-correlations are computed. In the first invocation of
method getStandardErrors stderrMethod =
BARTLETTS_FORMULA, the standard errors are based on the
assumption that autocorrelations and cross-correlations for lags greater than
maximum_lag or less than -maximum_lag are zero, In
the second invocation of method getStandardErrors with
stderrMethod = BARTLETTS_FORMULA_NOCC, the standard errors are
based on the additional assumption that all cross-correlations for
X and Y are zero.
| Constructor and Description |
|---|
CrossCorrelationEx1() |
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