View source: R/crosscor_3series.R

crosscor_3series | R Documentation |

This function computes the cross-correlations for all lags = -lag2, .. lag2, for all pairs, and for pair of lags = (-lag3,-lag3),...(lag3,lag3) for the three series3.

```
crosscor_3series(x, y, z, lag2, lag3)
```

`x` |
Pseudo-observations (or residuals) of first series. |

`y` |
Pseudo-observations (or residuals) of second series. |

`z` |
Pseudo-observations (or residuals) of third series. |

`lag2` |
Maximum number of lags around 0 for pairs of series. |

`lag3` |
Maximum number of lags around 0 for the three series. |

`LB` |
Cross-correlations for all lags and for all subsets |

`H` |
Sum of squares of cross-correlations for all subsets |

`pvalue` |
P-value of LB for all subsets and H |

`n` |
length of the time series |

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

```
# Romano-Siegel's example #
data(romano_ex)
outr = crosscor_3series(romano_ex$x,romano_ex$y,romano_ex$z,5,2)
```

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