Constructor to compute the multichannel cross-correlation function of two mutually stationary mulitchannel time series.

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

Syntax

C#
public MultiCrossCorrelation(
	double[,] x,
	double[,] y,
	int maximumLag
)
Visual Basic (Declaration)
Public Sub New ( _
	x As Double(,), _
	y As Double(,), _
	maximumLag As Integer _
)
Visual C++
public:
MultiCrossCorrelation(
	array<double,2>^ x, 
	array<double,2>^ y, 
	int maximumLag
)

Parameters

x
Type: array< System..::.Double ,2>[,](,)[,]
A two-dimensional double array containing the first multichannel stationary time series. Each row of x corresponds to an observation of a multivariate time series and each column of x corresponds to a univariate time series.
y
Type: array< System..::.Double ,2>[,](,)[,]
A two-dimensional double array containing the second multichannel stationary time series. Each row of y corresponds to an observation of a multivariate time series and each column of y corresponds to a univariate time series.
maximumLag
Type: System..::.Int32
A int containing the maximum lag of the cross-covariance and cross-correlations to be computed. maximumLag must be greater than or equal to 1 and less than the minimum number of observations of x and y.

See Also