ccm function

Cross-Correlation Matrices

Computes sample cross-correlation matrices of a multivariate time series, including simplified ccm matrix and p-value plot of Ljung-Box statistics.

ccm(x, lags = 12, level = FALSE, output = T)

Arguments

• x: A matrix of vector time series, each column represents a series.
• lags: The number of lags of CCM to be computed. Default is 12.
• level: A logical switch. When level=T, numerical values of CCM is printed. Default is no printing of CCM.
• output: A logical switch. If ouput=F, no output is given. Default is with output.

Details

The p-value of Ljung-Box statistics does not include any adjustment in degrees of freedom.

Returns

• ccm: Sample cross-correlation matrices

• pvalue: p-values for each lag of CCM being a zero matrix

References

Tsay (2014, Chapter 1). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

Examples

xt=matrix(rnorm(1500),500,3)
ccm(xt)
ccm(xt,lag=20)