IMSL C# Numerical Library

CrossCorrelation.GetCrossCovariances Method 

Returns the cross-covariances between the time series x and y.

public double[] GetCrossCovariances();

Return Value

A double array of length 2 * maximumLag + 1 containing the cross-covariances between the time series x and y.

Remarks

The cross-covariance between x and y at lag k, where k = -maximumLag,..., 0, 1,...,maximumLag, corresponds to output array indices 0, 1,..., (2*maximumLag).

See Also

CrossCorrelation Class | Imsl.Stat Namespace