crosscor_2series: Cross-correlations for testing independence between the...

In IndGenErrors: Tests of Independence Between Innovations of Generalized Error Models

Cross-correlations for testing independence between the innovations of 2 series of same length

Description

This function computes the cross-correlations between x(t) and y(t-l), for l=-lag,.., lag, and also the combination (Wald's type) of these statistics.

Usage

crosscor_2series(x, y, lag, graph = TRUE)

Arguments

x	Pseudo-observations (or residuals) of first series
y	Pseudo-observations (or residuals) of second series
lag	Maximum number of lags around 0
graph	Set to TRUE for a correlogram for all possible lags.

Value

stat	Cross-correlations for all lags
LB	Sum of squares of cross-correlations
pvalue	P-value of LB
subsets	c(-lag:lag)
n	length of the time series

References

Duchesne, Ghoudi & Remillard (2012). On Testing for independence between the innovations of several time series. CJS, vol. 40, 447-479.

Examples

data(gas)
outr <-crosscor_2series(gas$xres,gas$yres,3)

IndGenErrors documentation built on July 9, 2023, 6:46 p.m.