ccf_rs | R Documentation |
Calculate regime-switching cross-correlation
ccf_rs(x, y, label, lag_max)
x , y |
A univariate numeric time series. |
label |
A factor of regime labels. |
lag_max |
Maximum lag at which to calculate the ccf. |
Cross-correlations for each group in label
.
set.seed(123)
x <- rnorm(100)
y <- rnorm(100)
label <- sample(1:2, 100, replace = TRUE)
ccf_rs(x, y, label = factor(label), lag_max = 3)
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