IMSL C# Numerical Library

MultiCrossCorrelation.GetCrossCorrelation Method 

Returns the cross-correlations between the channels of x and y.

public double[,,] GetCrossCorrelation();

Return Value

A double array of size 2 * maximumLag +1 by x.GetLength(1) by y.GetLength(1) containing the cross-correlations between the time series x and y.

Remarks

The cross-correlation between channel i of the x series and channel j of the y series at lag k, where k = -maximumLag, ..., 0, 1, ..., maximumLag, corresponds to output array, CC[k,i,j] where k= 0, 1, ..., (2*maximumLag), i = 1, ..., x.GetLength(1), and j = 1, ..., y.GetLength(1).

Exceptions

Exception Type Condition
NonPosVarianceXYException is thrown if the problem is ill-conditioned. The variance is too small to work with.

See Also

MultiCrossCorrelation Class | Imsl.Stat Namespace