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

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public double[] GetStandardErrors(
	CrossCorrelation..::.StdErr stderrMethod
)
Visual Basic (Declaration)
Public Function GetStandardErrors ( _
	stderrMethod As CrossCorrelation..::.StdErr _
) As Double()
Visual C++
public:
array<double>^ GetStandardErrors(
	CrossCorrelation..::.StdErr stderrMethod
)

Parameters

stderrMethod
Type: Imsl.Stat..::.CrossCorrelation..::.StdErr
An int specifying the method to compute the standard errors of cross-correlations between the time series x and y.

Return Value

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

Remarks

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

Method of computation for standard errors of the cross-correlation is determined by the stderrMethod parameter. If stderrMethod is set to Bartletts, Bartlett's formula is used to compute the standard errors of cross-correlations. If stderrMethod is set to BartlettsNoCC, Bartlett's formula is used to compute the standard errors of cross-correlations, with the assumption of no cross-correlation.

Exceptions

ExceptionCondition
Imsl.Stat..::.NonPosVarianceException is thrown if the problem is ill-conditioned.

See Also