corr.lag.partial {quantilogram} | R Documentation |
Partial Cross-correlation function
Description
A function used to obtain partial cross-correlation function for a give lag order
Usage
corr.lag.partial(matH, k)
Arguments
matH |
A matrix with multiple columns (more than 3 columns) |
k |
The lag order (integer) |
Details
This function obtains the partial corss-correlation and the simple correlation. To obtain the partial cross-correlation, this function uses the first column of the input matrix and k-lagged values of the rest of the matrix.
Value
Partial corss-correlation at k lags and the correlation statistics at k lags.
Author(s)
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
[Package quantilogram version 2.2.1 Index]