NAG Library Function Document
nag_tsa_multi_cross_corr (g13dmc)
1
Purpose
nag_tsa_multi_cross_corr (g13dmc) calculates the sample cross-correlation (or cross-covariance) matrices of a multivariate time series.
2
Specification
#include <nag.h> |
#include <nagg13.h> |
void |
nag_tsa_multi_cross_corr (Nag_CovOrCorr matrix,
Integer k,
Integer n,
Integer m,
const double w[],
double wmean[],
double r0[],
double r[],
NagError *fail) |
|
3
Description
Let
, for
, denote
observations of a vector of
time series. The sample cross-covariance matrix at lag
is defined to be the
by
matrix
, whose (
)th element is given by
where
and
denote the sample means for the
th and
th series respectively. The sample cross-correlation matrix at lag
is defined to be the
by
matrix
, whose
th element is given by
The number of lags, , is usually taken to be at most .
If
follows a vector moving average model of order
, then it can be shown that the theoretical cross-correlation matrices
are zero beyond lag
. In order to help spot a possible cut-off point, the elements of
are usually compared to their approximate standard error of 1/
. For further details see, for example,
Wei (1990).
The function uses a single pass through the data to compute the means and the cross-covariance matrix at lag zero. The cross-covariance matrices at further lags are then computed on a second pass through the data.
4
References
Wei W W S (1990) Time Series Analysis: Univariate and Multivariate Methods Addison–Wesley
West D H D (1979) Updating mean and variance estimates: An improved method Comm. ACM 22 532–555
5
Arguments
- 1:
– Nag_CovOrCorrInput
-
On entry: indicates whether the cross-covariance or cross-correlation matrices are to be computed.
- The cross-covariance matrices are computed.
- The cross-correlation matrices are computed.
Constraint:
or .
- 2:
– IntegerInput
-
On entry: , the dimension of the multivariate time series.
Constraint:
.
- 3:
– IntegerInput
-
On entry: , the number of observations in the series.
Constraint:
.
- 4:
– IntegerInput
-
On entry:
, the number of cross-correlation (or cross-covariance) matrices to be computed. If in doubt set
. However it should be noted that
m is usually taken to be at most
.
Constraint:
.
- 5:
– const doubleInput
-
On entry: must contain the value for series at time , for and .
- 6:
– doubleOutput
-
On exit: the means,
, for .
- 7:
– doubleOutput
-
On exit: if
,
contains the
th element of the sample cross-covariance matrix.
If , , contains the th element of the sample cross-correlation matrix and contains the standard deviation of the th series.
- 8:
– doubleOutput
-
On exit: if
,
contains the
th element of the sample cross-covariance matrix at lag
.
If , then it contains the
th element of the sample cross-correlation matrix lag , for , and .
- 9:
– NagError *Input/Output
-
The NAG error argument (see
Section 3.7 in How to Use the NAG Library and its Documentation).
6
Error Indicators and Warnings
- NE_ALLOC_FAIL
-
Dynamic memory allocation failed.
See
Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
- NE_BAD_PARAM
-
On entry, argument had an illegal value.
- NE_INT
-
On entry, .
Constraint: .
On entry, .
Constraint: .
- NE_INT_2
-
On entry, and .
Constraint: and .
- NE_INTERNAL_ERROR
-
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
See
Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
- NE_NO_LICENCE
-
Your licence key may have expired or may not have been installed correctly.
See
Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
- NE_ZERO_VARIANCE
-
On entry, at least one of the series is such that all its elements are practically identical giving zero (or near zero) variance.
7
Accuracy
For a discussion of the accuracy of the one-pass algorithm used to compute the sample cross-covariances at lag zero see
West (1979). For the other lags a two-pass algorithm is used to compute the cross-covariances; the accuracy of this algorithm is also discussed in
West (1979). The accuracy of the cross-correlations will depend on the accuracy of the computed cross-covariances.
8
Parallelism and Performance
nag_tsa_multi_cross_corr (g13dmc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the
x06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the
Users' Note for your implementation for any additional implementation-specific information.
The time taken is roughly proportional to .
10
Example
This program computes the sample cross-correlation matrices of two time series of length , up to lag . It also prints the cross-correlation matrices together with plots of symbols indicating which elements of the correlation matrices are significant. Three * represent significance at the % level, two * represent significance at the 1% level and a single * represents significance at the 5% level. The * are plotted above or below the line depending on whether the elements are significant in the positive or negative direction.
10.1
Program Text
Program Text (g13dmce.c)
10.2
Program Data
Program Data (g13dmce.d)
10.3
Program Results
Program Results (g13dmce.r)