MTS: ccm – R documentation

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ccm

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)

`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.

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

`ccm`	Sample cross-correlation matrices
`pvalue`	p-values for each lag of CCM being a zero matrix

Ruey S. Tsay

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

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

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8