Computes cross-covariance and cross-correlation functions of the multivariate time series.
crscor(y, lag = NULL, outmin = NULL, outmax = NULL, plot = TRUE, …)
a multivariate time series.
maximum lag. Default is \(2 \sqrt{n}\), where \(n\) is the length of the time series y.
y
bound for outliers in low side. A default value is -1.0e+30 for each dimension.
bound for outliers in high side. A default value is 1.0e+30 for each dimension.
logical. If TRUE (default), cross-correlations are plotted.
TRUE
further arguments to be passed to plot.crscor.
plot.crscor
An object of class "crscor", which is a list with the following elements:
"crscor"
cross-covariances.
cross-correlations.
mean.
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
# NOT RUN { # Yaw rate, rolling, pitching and rudder angle of a ship data(HAKUSAN) y <- as.matrix(HAKUSAN[, 2:4]) # Rolling, Pitching, Rudder crscor(y, lag = 50) # }
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