ccf_rs function

Calculate regime-switching cross-correlation

ccf_rs(x, y, label, lag_max)

Arguments

• x, y: A univariate numeric time series.
• label: A factor of regime labels.
• lag_max: Maximum lag at which to calculate the ccf.

Returns

Cross-correlations for each group in label.

Examples

set.seed(123)
x <- rnorm(100)
y <- rnorm(100)
label <- sample(1:2, 100, replace = TRUE)
ccf_rs(x, y, label = factor(label), lag_max = 3)