CrossCorrelation.GetCrossCorrelations Method

CrossCorrelationGetCrossCorrelations Method

Returns the cross-correlations between the time series x and y.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public double[] GetCrossCorrelations()

Public Function GetCrossCorrelations As Double()

public:
array<double>^ GetCrossCorrelations()

member GetCrossCorrelations : unit -> float[]

Return Value

Type: Double
A double array of length 2 * maximumLag + 1 containing the cross-correlations between the time series x and y.

Exceptions

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

Remarks

The cross-correlation between x and y at lag k, where k = -maximumLag,..., 0, 1,...,maximumLag, corresponds to output array indices 0, 1,..., (2*maximumLag).

Reference

CrossCorrelation Class

Imsl.Stat Namespace