CrossCorrelation Constructor

Constructor to compute the sample cross-correlation function of two stationary time series.

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

Syntax

public CrossCorrelation(
	double[] x,
	double[] y,
	int maximumLag
)

Public Sub New ( 
	x As Double(),
	y As Double(),
	maximumLag As Integer
)

public:
CrossCorrelation(
	array<double>^ x, 
	array<double>^ y, 
	int maximumLag
)

new : 
        x : float[] * 
        y : float[] * 
        maximumLag : int -> CrossCorrelation

x: Type: SystemDouble
A one-dimensional double array containing the first stationary time series.
y: Type: SystemDouble
A one-dimensional double array containing the second stationary time series.
maximumLag: Type: SystemInt32
An int containing the maximum lag of the cross-covariance and cross-correlations to be computed.

Remarks

maximumLag must be greater than or equal to 1 and less than the minimum of the number of observations of x and y.