crscor {TSSS} | R Documentation |
Computes cross-covariance and cross-correlation functions of the multivariate time series.
crscor(y, lag = NULL, outmin = NULL, outmax = NULL, plot = TRUE, ...)
y |
a multivariate time series. |
lag |
maximum lag. Default is 2*sqrt(n), where n
is the length of the time series |
outmin |
bound for outliers in low side. A default value is -1.0e+30 for each dimension. |
outmax |
bound for outliers in high side. A default value is 1.0e+30 for each dimension. |
plot |
logical. If |
... |
further arguments to be passed to |
An object of class "crscor"
, which is a list with the following
elements:
cov |
cross-covariances. |
cor |
cross-correlations. |
mean |
mean. |
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
# 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)