nag_tsa_cross_corr (g13bcc) (PDF version)
g13 Chapter Contents
g13 Chapter Introduction
NAG Library Manual

NAG Library Function Document

nag_tsa_cross_corr (g13bcc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_tsa_cross_corr (g13bcc) calculates cross-correlations between two time series.

2  Specification

#include <nag.h>
#include <nagg13.h>
void  nag_tsa_cross_corr (const double x[], const double y[], Integer nxy, Integer nl, double *s, double *r0, double r[], double *stat, NagError *fail)

3  Description

Given two series x1,x2,,xn and y1,y2,,yn the function calculates the cross-correlations between xt and lagged values of yt:
rxyl=t=1 n-lxt-x-yt+l-y- nsxsy ,  l=0,1,,L
x-=t= 1nxtn
sx2=t=1n xt-x- 2n
and similarly for y.
The ratio of standard deviations sy/sx is also returned, and a portmanteau statistic is calculated:
stat=nl=1Lrxy l 2.
Provided n is large, L much less than n, and both xt,yt are samples of series whose true autocorrelation functions are zero, then, under the null hypothesis that the true cross-correlations between the series are zero, stat has a χ2-distribution with L degrees of freedom. Values of stat in the upper tail of this distribution provide evidence against the null hypothesis.

4  References

Box G E P and Jenkins G M (1976) Time Series Analysis: Forecasting and Control (Revised Edition) Holden–Day

5  Arguments

1:     x[nxy]const doubleInput
On entry: the n values of the x series.
2:     y[nxy]const doubleInput
On entry: the n values of the y series.
3:     nxyIntegerInput
On entry: n, the length of the time series.
Constraint: nxy2.
4:     nlIntegerInput
On entry: L, the maximum lag for calculating cross-correlations.
Constraint: 1nl<nxy.
5:     sdouble *Output
On exit: the ratio of the standard deviation of the y series to the standard deviation of the x series, sy/sx.
6:     r0double *Output
On exit: the cross-correlation between the x and y series at lag zero.
7:     r[nl]doubleOutput
On exit: r[l-1] contains the cross-correlations between the x and y series at lags L, rxyl, for l=1,2,,L.
8:     statdouble *Output
On exit: the statistic for testing for absence of cross-correlation.
9:     failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

On entry, argument value had an illegal value.
On entry, nl=value.
Constraint: nl1.
On entry, nxy=value.
Constraint: nxy>1.
On entry, nlnxy: nl=value and nxy=value.
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.
One or both of the x and y series have zero variance.

7  Accuracy

All computations are believed to be stable.

8  Parallelism and Performance

Not applicable.

9  Further Comments

If n<100, or L<10logn then the autocorrelations are calculated directly and the time taken by nag_tsa_cross_corr (g13bcc) is approximately proportional to nL, otherwise the autocorrelations are calculated by utilizing fast Fourier transforms (FFTs) and the time taken is approximately proportional to nlogn. If FFTs are used then nag_tsa_cross_corr (g13bcc) internally allocates approximately 6n real elements.

10  Example

This example reads two time series of length 20. It calculates and prints the cross-correlations up to lag 15 for the first series leading the second series and then for the second series leading the first series.

10.1  Program Text

Program Text (g13bcce.c)

10.2  Program Data

Program Data (g13bcce.d)

10.3  Program Results

Program Results (g13bcce.r)

nag_tsa_cross_corr (g13bcc) (PDF version)
g13 Chapter Contents
g13 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2014