Summaryccm {SLBDD}

Summary Statistics of Cross-Correlation Matrices

Description

Compute and plot summary statistics of cross-correlation matrices (CCM) for high-dimensional time series.

Usage

Summaryccm(x, max.lag = 12)

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.

max.lag

The number of lags for CCM.

Value

A list containing:

• pvalue - P-values of Chi-square tests of individual-lag CCM being zero-matrix.

• ndiag - Percentage of significant diagonal elements for each lag.

• noff - Percentage of significant off-diagonal elements for each lag.

Examples

data(TaiwanAirBox032017)
output <- Summaryccm(as.matrix(TaiwanAirBox032017[,1:4]))