MpermutMax : The Maximum Moving Cross-Correlation Method

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

[thumbnail of Alshammri-2020-MpermutMax-The-Maximum-Moving-Cross-Correlation]
Preview
 Text. Filename: Alshammri_2020_MpermutMax_The_Maximum_Moving_Cross_Correlation.pdf
Final Published Version
License: GNU General Public License v2 (Software)
Download (101kB)| Preview

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)

  • Item type:Other
    ID code:71848
    Dates:
    Date
    Event
    10 March 2020
    Published
    Notes:Alshammri, F. (2020). MpermutMax: The Maximum Moving Cross-Correlation Method. R package version 0.1.0.
    Subjects:Science > Mathematics > Computer software
    Department:Faculty of Science > Mathematics and Statistics
    Depositing user: Pure Administrator
    Date deposited:24 Mar 2020 09:55
    Last modified:17 Nov 2024 01:00
    URI:https://strathprints.strath.ac.uk/id/eprint/71848
CORE (COnnecting REpositories)