NAG C Library Function Document

nag_tsa_cross_corr (g13bcc)

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

1:    $\mathbf{x}\left[\mathbf{nxy}\right]$ – const doubleInput

On entry: the $n$ values of the $x$ series.

2:    $\mathbf{y}\left[\mathbf{nxy}\right]$ – const doubleInput

On entry: the $n$ values of the $y$ series.

3:    $\mathbf{nxy}$ – IntegerInput

On entry: $n$, the length of the time series.

Constraint: $\mathbf{nxy}\ge 2$.

4:    $\mathbf{nl}$ – IntegerInput

On entry: $L$, the maximum lag for calculating cross-correlations.

Constraint: $1\le \mathbf{nl}<\mathbf{nxy}$.

5:    $\mathbf{s}$ – double *Output

On exit: the ratio of the standard deviation of the $y$ series to the standard deviation of the $x$ series, $s_y/s_x$.

6:    $\mathbf{r0}$ – double *Output

On exit: the cross-correlation between the $x$ and $y$ series at lag zero.

7:    $\mathbf{r}\left[\mathbf{nl}\right]$ – doubleOutput

On exit: $\mathbf{r}\left[\mathit{l}-1\right]$ contains the cross-correlations between the $x$ and $y$ series at lags $L$, $r_{xy}\left(\mathit{l}\right)$, for $\mathit{l}=1,2,\dots ,L$.

8:    $\mathbf{stat}$ – double *Output

On exit: the statistic for testing for absence of cross-correlation.

9:    $\mathbf{fail}$ – 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 $〈\mathit{\text{value}}〉$ had an illegal value.

NE_INT

On entry, $\mathbf{nl}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{nl}\ge 1$.

On entry, $\mathbf{nxy}=〈\mathit{\text{value}}〉$.
Constraint: $\mathbf{nxy}>1$.

NE_INT_2

On entry, $\mathbf{nl}=〈\mathit{\text{value}}〉$ and $\mathbf{nxy}=〈\mathit{\text{value}}〉$.
Constraint: $1\le \mathbf{nl}<\mathbf{nxy}$.

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

One or both of the $x$ and $y$ series have zero variance.

7

Accuracy

8

Parallelism and Performance

9

Further Comments

10

Example

10.1

Program Text

Program Text (g13bcce.c)

10.2

Program Data

Program Data (g13bcce.d)

10.3

Program Results

Program Results (g13bcce.r)