Returns the cross-correlations between the channels of x and
y.
Namespace:
Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0
Syntax
C# |
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public double[,,] GetCrossCorrelation() |
Visual Basic (Declaration) |
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Public Function GetCrossCorrelation As Double(,,) |
Visual C++ |
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public: array<double,3>^ GetCrossCorrelation() |
Return Value
A double array of size 2 * maximumLag +1 by x.GetLength(1) by y.GetLength(1) containing the cross-correlations between the time series x and y.Remarks
The cross-correlation 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, CC[k,i,j] where k= 0, 1, ...,
(2*maximumLag), i = 1, ..., x.GetLength(1), and
j = 1, ..., y.GetLength(1).
Exceptions
Exception | Condition |
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Imsl.Stat..::.NonPosVarianceXYException | is thrown if the problem is ill-conditioned. The variance is too small to work with. |