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
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