MultiCrossCorrelation Constructor |
Constructor to compute the multichannel cross-correlation function of
two mutually stationary mulitchannel time series.
Namespace: Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public MultiCrossCorrelation(
double[,] x,
double[,] y,
int maximumLag
)
Public Sub New (
x As Double(,),
y As Double(,),
maximumLag As Integer
)
public:
MultiCrossCorrelation(
array<double,2>^ x,
array<double,2>^ y,
int maximumLag
)
new :
x : float[,] *
y : float[,] *
maximumLag : int -> MultiCrossCorrelation
Parameters
- x
- Type: SystemDouble
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
- Type: SystemDouble
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
- Type: SystemInt32
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