MaximumCorrelation Constructor (Int32, Int32, Boolean, Boolean) |
Creates sliding window Maximum Correlation.
Namespace:
FinAnalysis.Comparators
Assembly:
FinAnalysis (in FinAnalysis.dll) Version: 2.1.13-cc97e13414b71fde928e8f3a546ac1daf26f295f
Syntax public MaximumCorrelation(
int period,
int lag,
bool isUnbiased = true,
bool isAbs = true
)
Parameters
- period
- Type: SystemInt32
Sliding window size in points. - lag
- Type: SystemInt32
Number of lags to calculate in range [-lag..+lag]. - isUnbiased (Optional)
- Type: SystemBoolean
Use unbiased estimate of the cross-correlation function. - isAbs (Optional)
- Type: SystemBoolean
Takes absolute correlation values, before finding maximum.
See Also