Constructor to compute the sample cross-correlation function of two stationary time series.

Parameters

x

A one-dimensional double array containing the first stationary time series.

y

A one-dimensional double array containing the second stationary time series.

maximumLag

An int containing the maximum lag of the cross-covariance and cross-correlations to be computed.

Remarks

maximumLag must be greater than or equal to 1 and less than the minimum of the number of observations of x and y.

See Also

CrossCorrelation Class | Imsl.Stat Namespace

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