MpermutMax : The Maximum Moving Cross-Correlation Method

Alshammri, Fayed Awdah M (2020) MpermutMax : The Maximum Moving Cross-Correlation Method. University of Strathclyde, Glasgow.

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    Abstract

    This method is a permutation method. It is used to test for significant correlations between the variables of both stationary and non-stationary multivariate time series. This method extended the Maximum Cross-Correlation methodof Change et al. (2018) to account for non-stationary high-dimensional time series. Notice that the following library is needed to be installed before using the mpermutMax function: library(roll)