Package com.imsl.test.example.stat

Class CrossCorrelationEx1

java.lang.Object

com.imsl.test.example.stat.CrossCorrelationEx1

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.

See Also:

• Code
• Output

Constructor Summary

Constructors

Constructor	Description
CrossCorrelationEx1()

Method Summary

Modifier and Type	Method	Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

CrossCorrelationEx1

public CrossCorrelationEx1()

Method Details

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception