MpermutMax : The Maximum Moving Cross-Correlation Method
Fayed Awdah M Alshammri · Strathprints: The University of Strathclyde institutional repository (University of Strathclyde) · 2020
This method is a permutation method. It is used to test for significant correlations between the variables of both stationary and non-stationary multivariate time series. This method extended the Maximum Cross-Correlation methodof Change et al. (2018) to account for non-stationary high-dimensional time series. Notice that the following library is needed to be installed before using the mpermutMax function: library(roll)