xi_ccf: Directional Xi-CCF Test for Multivariate Time Series

In xiacf: Quantifying Nonlinear Dependence and Lead-Lag Dynamics via Chatterjee's Xi

Directional Xi-CCF Test for Multivariate Time Series

Description

Calculates Chatterjee's Xi cross-correlation and the standard Cross-Correlation Function (CCF) across positive lags to evaluate directional lead-lag relationships.

Usage

xi_ccf(
  x,
  y,
  max_lag = 20,
  n_surr = 100,
  bidirectional = TRUE,
  sig_level = 0.95
)

Arguments

x	A numeric vector representing the first time series.
y	A numeric vector representing the second time series.
max_lag	An integer specifying the maximum positive lag.
n_surr	An integer specifying the number of MIAAFT surrogate datasets.
bidirectional	Logical. If TRUE (default), computes both directions.
sig_level	A numeric value between 0 and 1 specifying the significance level. Default is 0.95.

Value

An object of class "xi_ccf".

xiacf documentation built on April 16, 2026, 5:08 p.m.