| GCCmatrix {SLBDD} | R Documentation |
Generalized Cross-Correlation Matrix
Description
Built the GCC similarity matrix between time series proposed in Alonso and Peña (2019).
Usage
GCCmatrix(x, lag, model, lag.set)
Arguments
x |
T by k data matrix: T data points in rows with each row being data at a given time point, and k time series in columns. |
lag |
Selected lag for computing the GCC between the pairs of series. Default value is computed inside the program. |
model |
Model specification. When the value lag is unknown for the user, the model specification is chosen between GARCH model or AR model. Default is ARMA model. |
lag.set |
If lag is not specified and the user wants to use instead of lags from 1 to 'lag' a non consecutive set of lags they can be defined as lag.set = c(1, 4, 7). |
Value
A list containing:
DM - A matrix object with the distance matrix.
k_GCC - The lag used to calculate GCC measure.
References
Alonso, A. M. and Peña, D. (2019). Clustering time series by linear dependency. Statistics and Computing, 29(4):655–676.
Examples
data(TaiwanAirBox032017)
output <- GCCmatrix(TaiwanAirBox032017[,1:3])