corr.lag {quantilogram}

Correlation Function

Description

The correlation statistics for a given lag order

Usage

corr.lag(matH, k)

Arguments

matH

The matrix with the column size of 2

k

The lag order (integer)

Details

The function obtains the simple correlation statistics. The values in the first column of input matrix is interacted with the k-lagged values in the second column.

Value

Correlation

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang