Constructor to compute the multichannel cross-correlation function of two mutually stationary mulitchannel time series.

Parameters

x

A two-dimensional double array containing the first multichannel stationary time series. Each row of x corresponds to an observation of a multivariate time series and each column of x corresponds to a univariate time series.

y

A two-dimensional double array containing the second multichannel stationary time series. Each row of y corresponds to an observation of a multivariate time series and each column of y corresponds to a univariate time series.

maximumLag

A int containing the maximum lag of the cross-covariance and cross-correlations to be computed. maximumLag must be greater than or equal to 1 and less than the minimum number of observations of x and y.

See Also

MultiCrossCorrelation Class | Imsl.Stat Namespace

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