MpermutMax: The Maximum Moving Cross-Correlation Method

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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)
Original languageEnglish
TypeDeveloping R Package
Media of outputR
PublisherUniversity of Strathclyde
Number of pages1
Place of PublicationGlasgow
Publication statusPublished - 10 Mar 2020

Keywords

  • MpermutMax

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