Returns the cross-correlations between the channels of x
and y
.
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
.
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)
.
Exception Type | Condition |
---|---|
NonPosVarianceXYException | is thrown if the problem is ill-conditioned. The variance is too small to work with. |
MultiCrossCorrelation Class | Imsl.Stat Namespace