| MultiCrossCorrelationGetCrossCovariance Method |
Returns the cross-covariances between the channels of x and
y.
Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
SyntaxReturn Value
Type: DoubleA double array of size 2 * maximumLag +1 by x.GetLength(1) by y.GetLength(1) containing the cross-covariances 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-covariances 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, CCV[k,i,j] where k= 0, 1, ...,
(2*maximumLag), i = 1, ..., x.GetLength(1), and
j = 1, ..., y.GetLength(1).
See Also