GetCrCorYX {fdapace}

Create cross-correlation matrix from auto- and cross-covariance matrix

Description

Create cross-correlation matrix from auto- and cross-covariance matrix

Usage

GetCrCorYX(ccXY, ccXX, ccYY)

Arguments

ccXY

The cross-covariance matrix between variables X and Y.

ccXX

The auto-covariance matrix of variable X or the diagonal of that matrix.

ccYY

The auto-covariance matrix of variable Y or the diagonal of that matrix.

Value

A cross-correlation matrix between variables X and Y.