pccf {tfarima}

Prewhitened cross correlation function

Description

pccf displays cross correlation function between input and output after prewhitening both through a univariate model.

Usage

pccf(
  x,
  y,
  um.x = NULL,
  um.y = NULL,
  lag.max = NULL,
  plot = TRUE,
  envir = NULL,
  main = NULL,
  nu.weights = FALSE,
  ...
)

Arguments

x

input, a 'ts' object or a numeric vector.

y

output, a 'ts' object or a numeric vector.

um.x

univariate model for input.

um.y

univariate model for output.

lag.max

number of lags, integer.

plot

logical value to indicate if the ccf graph must be graphed or computed.

envir

environment in which the function arguments are evaluated. If NULL the calling environment of this function will be used.

main

title of the graph.

nu.weights

logical. If TRUE the coefficients of the IRF are computed instead of the cross-correlations.

...

additional arguments.

Value

The estimated cross correlations are displayed in a graph or returned into a numeric vector.