corr.lag.partial: Partial Cross-correlation function

In quantilogram: Cross-Quantilogram

Partial Cross-correlation function

Description

A function used to obtain partial cross-correlation function for a give lag order

Usage

corr.lag.partial(matH, k)

Arguments

matH	A matrix with multiple columns (more than 3 columns)
k	The lag order (integer)

Details

This function obtains the partial corss-correlation and the simple correlation. To obtain the partial cross-correlation, this function uses the first column of the input matrix and k-lagged values of the rest of the matrix.

Value

Partial corss-correlation at k lags and the correlation statistics at k lags.

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

quantilogram documentation built on Sept. 11, 2024, 5:56 p.m.