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MaximumCorrelation Constructor (TimeSpan, Int32, Boolean, Boolean)

Creates sliding window Maximum Correlation.

Namespace:  FinAnalysis.Comparators
Assembly:  FinAnalysis (in FinAnalysis.dll) Version: 2.1.13-cc97e13414b71fde928e8f3a546ac1daf26f295f
Syntax
C#
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public MaximumCorrelation(
	TimeSpan period,
	int lag,
	bool isUnbiased = true,
	bool isAbs = true
)

Parameters

period
Type: SystemTimeSpan
Sliding window size in time.
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