CCF: Cross Correlation Function

In chengfeifan/Causality: Calculate the Causality between variables

Description

Cross Correlation Function

Usage

CCF(x, y, lag.max, ...)

Arguments

x	A vector represents a time sequence
y	A vector represents another time sequence
lag.max	A numeric determines the max time lag

Details

The method of cross correlation function can be used to detect the causality in the linear system.

Value

$lag The sequence of time lag

$CCF The value of cross correlation function

Examples

set.seed(42)
x<-runif(100)
y<-runif(100)
result<-CCF(x,y,lag.max=50)
plot(result)

chengfeifan/Causality documentation built on May 13, 2019, 3:40 p.m.