MpermutMax : The Maximum Moving Cross-Correlation Method

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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)

  • 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:16 Dec 2024 03:22
    URI:https://strathprints.strath.ac.uk/id/eprint/71848
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