Time Series Analysis Package
CROSSCORR Object
The CROSSCORR class object functions perform the cross-correlation and cross-covariance analysis of two time series arrays and output all the values and results.
Table 4 summarizes the methods that are associated with the CROSSCORR object.
Table 4: Methods of the CROSSCORR Object
Figure 3 diagrams the methods of the CROSSCORR object.
Figure 3: CROSSCORR Data Flow
CROSSCORR Synopsis
DECLARE OBJECT obj (CROSSCORR);
Method syntax, in order of typical usage:
rc=obj.SetY (YSeries);
rc=obj.SetX (XSeries);
rc=obj.SetNLags (Nlags);
rc=obj.SetScale (Adjscale);
rc=obj.Run ();
rc=obj.GetResult ('Name',OutputArray);
CROSSCORR Methods
CROSSCORR.GetResult Method
rc=obj.GetResult ('Name',OutputArray);
Outputs the selected results to an array.
Input Arguments
You must specify the following input arguments:
- Name
-
specifies a string that identifies the result series to return. You can specify the following values within single quotation marks:
- ccov
returns an array of cross-covariance estimates, with
entries. - ccf
returns an array of cross-correlation estimates, with
entries. - ccfstd
returns an array of standard errors, with
entries. - ccf2std
returns an array of double standard errors, with
entries. - ccfnorm
returns an array of normalized cross-correlation, with
entries. - ccfprob
returns an array of probabilities, with
entries. - ccflprob
returns an array of log probabilities, with
entries.
- OutputArray
specifies a numeric array to receive the result series.
CROSSCORR.Initialize Method
rc=obj.Initialize ();
Initializes an CROSSCORR object to an empty state. This method must be called before the time series arrays and other attributes are specified for the CROSSCORR object.
Arguments
There are no arguments associated with this method.
CROSSCORR.Run Method
rc=obj.Run ();
Runs the CROSSCORR object to perform the cross-correlation and cross-covariance analysis by using the time series arrays YSeries and XSeries that have been specified for it. Upon successful completion, various results can be extracted from the CROSSCORR object.
Arguments
There are no arguments associated with this method.
CROSSCORR.SetNLags Method
rc=obj.SetNLags (Nlags);
Sets a named option for the CROSSCORR object.
Input Arguments
You must specify the following input argument:
- Nlags
specifies the number of lags to use in the calculation. The default value is 24.
CROSSCORR.SetScale Method
rc=obj.SetScale (Adjscale);
Specifies the normalization setting for the CROSSCORR object.
Input Arguments
You must specify the following input argument:
- Adjscale
-
specifies Adjscale, which controls the normalization of the cross-covariance and cross-correlation. You can specify the following numeric values:
- 0
specifies the default normalization.
- 1
specifies the unbiased normalization.
- 2
specifies the biased normalization.
For more information, see Table 6.
CROSSCORR.SetX Method
rc=obj.SetX (XSeries);
Specifies the cross time series array (XSeries) for the CROSSCORR object.
Input Arguments
You must specify the following input argument:
- XSeries
specifies a numeric array that contains the dependent series for the CROSSCORR object.