corr.lag

<p>The matrix with the column size of 2</p>

matH

<p>The correlation statistics for a given lag order</p>

Estimation and inference methods for the
cross-quantilogram.  The cross-quantilogram is a measure of nonlinear
dependence between two variables, based on either unconditional or
conditional quantile functions.  The cross-quantilogram can be
considered as an extension of the correlogram, which is a correlation
function over multiple lag periods and mainly focuses on linear
dependency.  One can use the cross-quantilogram to detect the presence
of directional predictability from one time series to another.  This
package provides a statistical inference method based on the
stationary bootstrap.  See Linton and Whang (2007)
<doi:10.1016/j.jeconom.2007.01.004> for univariate time series
analysis and Han, Linton, Oka and Whang (2016)
<doi:10.1016/j.jeconom.2016.03.001> for multivariate time series
analysis.

corr.lag: Correlation Function

Description

Usage

Arguments

Value

Details