xi_matrix: Multivariate Xi-Correlogram Matrix

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

Multivariate Xi-Correlogram Matrix

Description

Computes the pairwise directional Chatterjee's Xi coefficient for a multivariate time series dataset. It evaluates both "Lead -> Lag" and "Lag -> Lead" relationships across all variable pairs, as well as the Xi-ACF (autocorrelation) for individual variables.

Usage

xi_matrix(x, max_lag = 20, n_surr = 100, sig_level = 0.95)

Arguments

x	A numeric matrix or data.frame containing the multivariate time series (columns = variables).
max_lag	An integer specifying the maximum positive lag to compute.
n_surr	An integer specifying the number of MIAAFT surrogate datasets for hypothesis testing.
sig_level	A numeric value between 0 and 1 specifying the significance level for the surrogate threshold. Default is 0.95.

Value

An S3 object of class xi_matrix containing a tidy data frame of pairwise results.

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