| ccm {MTS} | R Documentation |
Cross-Correlation Matrices
Description
Computes sample cross-correlation matrices of a multivariate time series, including simplified ccm matrix and p-value plot of Ljung-Box statistics.
Usage
ccm(x, lags = 12, level = FALSE, output = T)
Arguments
x |
A matrix of vector time series, each column represents a series. |
lags |
The number of lags of CCM to be computed. Default is 12. |
level |
A logical switch. When level=T, numerical values of CCM is printed. Default is no printing of CCM. |
output |
A logical switch. If ouput=F, no output is given. Default is with output. |
Details
The p-value of Ljung-Box statistics does not include any adjustment in degrees of freedom.
Value
ccm |
Sample cross-correlation matrices |
pvalue |
p-values for each lag of CCM being a zero matrix |
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 1). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Examples
xt=matrix(rnorm(1500),500,3)
ccm(xt)
ccm(xt,lag=20)