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 language | English |
|---|---|
| Type | Developing R Package |
| Media of output | R |
| Publisher | University of Strathclyde |
| Number of pages | 1 |
| Place of Publication | Glasgow |
| Publication status | Published - 10 Mar 2020 |
Keywords
- MpermutMax