Create cross-correlation matrix from auto- and cross-covariance matrix
Create cross-correlation matrix from auto- and cross-covariance matrix
GetCrCorYX(ccXY, ccXX, ccYY)
ccXY |
The cross-covariance matrix between variables X and Y. |
ccXX |
The auto-covariance matrix of variable X or the diagonal of that matrix. |
ccYY |
The auto-covariance matrix of variable Y or the diagonal of that matrix. |
A cross-correlation matrix between variables X and Y.
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