Create cross-correlation matrix from auto- and cross-covariance matrix
Create cross-correlation matrix from auto- and cross-covariance matrix
GetCrCorYZ(ccYZ, acYY, covZ)
ccYZ |
The cross-covariance vector between variables Y and Z (n-by-1). |
acYY |
The auto-covariance n-by-n matrix of variable Y or the (n-by-1) diagonal of that matrix. |
covZ |
The (scalar) covariance of variable Z. |
A cross-correlation matrix between variables Y (functional) and Z (scalar).
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