Returns the cross-covariances between the channels of x and
y.
Namespace:
Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0
Syntax
| C# |
|---|
public double[,,] GetCrossCovariance() |
| Visual Basic (Declaration) |
|---|
Public Function GetCrossCovariance As Double(,,) |
| Visual C++ |
|---|
public: array<double,3>^ GetCrossCovariance() |
Return Value
A 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.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).
Exceptions
| Exception | Condition |
|---|---|
| Imsl.Stat..::.NonPosVarianceXYException | is thrown if the problem is ill-conditioned. The variance is too small to work with. |
