Description Usage Arguments Value Examples
Given two multivariate time series X_t and Y_t
estimates the covariances of Cov(X_{k} Y_0) for k \in [-q,q].
lagged.cov
is used for the estimation at each lag.
1 | cov.structure(X, Y = NULL, q = 10)
|
X |
first process |
Y |
second process, if null then autocovariance of |
q |
size of the window (covariances from |
a time domain operator
1 2 3 | X = rar(100)
Y = rar(100)
cov.structure(X,Y)
|
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