Cross correlation

*The author of this computation has been verified*

R Software Module: rwasp_cross.wasp (opens new window with default values)

Title produced by software: Cross Correlation Function

Date of computation: Mon, 01 Dec 2008 10:52:21 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/01/t1228153983q5njbvbsr8phmyz.htm/, Retrieved Mon, 01 Dec 2008 17:53:03 +0000

BibTeX entries for LaTeX users:

@Manual{KEY, author = {{YOUR NAME}}, publisher = {Office for Research Development and Education}, title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/01/t1228153983q5njbvbsr8phmyz.htm/}, year = {2008}, } @Manual{R, title = {R: A Language and Environment for Statistical Computing}, author = {{R Development Core Team}}, organization = {R Foundation for Statistical Computing}, address = {Vienna, Austria}, year = {2008}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc]  [reply]  test Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

14211 13646,8 12224,6 15916,4 16535,9 15796 14418,6 15044,5 14944,2 16754,8 14254 15454,9 15644,8 14568,3 12520,2 14803 15873,2 14755,3 12875,1 14291,1 14205,3 15859,4 15258,9 15498,6 15106,5 15023,6 12083 15761,3 16943 15070,3 13659,6 14768,9 14725,1 15998,1 15370,6 14956,9 15469,7 15101,8 11703,7 16283,6 16726,5 14968,9 14861 14583,3 15305,8 17903,9 16379,4 15420,3 17870,5 15912,8 13866,5 17823,2 17872 17420,4 16704,4 15991,2 16583,6 19123,5 17838,7 17209,4 18586,5 16258,1 15141,6 19202,1 17746,5 19090,1 18040,3 17515,5 17751,8 21072,4 17170 19439,5 19795,4 17574,9 16165,4 19464,6 19932,1 19961,2 17343,4 18924,2 18574,1 21350,6 18594,6 19823,1 20844,4 19640,2 17735,4 19813,6 22238,5 20682,2 17818,6 21872,1 22117 21865,9 23451,3 20953,7 22497,3

Dataseries Y:

» Textbox « » Textfile « » CSV «

13698,3 12477,6 13139,7 14532,2 15167 16071,1 14827,5 15082 14772,7 16083 14272,5 15223,3 14897,3 13062,6 12603,8 13629,8 14421,1 13978,3 12927,9 13429,9 13470,1 14785,8 14292 14308,8 14013 13240,9 12153,4 14289,7 15669,2 14169,5 14569,8 14469,1 14264,9 15320,9 14433,5 13691,5 14194,1 13519,2 11857,9 14616 15643,4 14077,2 14887,5 14159,9 14643 17192,5 15386,1 14287,1 17526,6 14497 14398,3 16629,6 16670,7 16614,8 16869,2 15663,9 16359,9 18447,7 16889 16505 18320,9 15052,1 15699,8 18135,3 16768,7 18883 19021 18101,9 17776,1 21489,9 17065,3 18690 18953,1 16398,9 16895,7 18553 19270 19422,1 17579,4 18637,3 18076,7 20438,6 18075,2 19563 19899,2 19227,5 17789,6 19220,8 22058,6 21230,8 19504,4 23913,1 23165,7 23574,3 25002 22603,9 23408,6

Output produced by software:

Summary of computational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 2 seconds R Server 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Cross Correlation Function Parameter Value Box-Cox transformation parameter (lambda) of X series 1 Degree of non-seasonal differencing (d) of X series 0 Degree of seasonal differencing (D) of X series 0 Seasonal Period (s) 1 Box-Cox transformation parameter (lambda) of Y series 1 Degree of non-seasonal differencing (d) of Y series 0 Degree of seasonal differencing (D) of Y series 0 k rho(Y[t],X[t+k]) -16 0.389036977249799 -15 0.422961489725233 -14 0.425152619767847 -13 0.474575147489699 -12 0.619258811009467 -11 0.540603135019807 -10 0.463747260927964 -9 0.540374566320081 -8 0.596974929322216 -7 0.575127643005209 -6 0.634850781783579 -5 0.621066844949778 -4 0.641461703535266 -3 0.687346665348966 -2 0.696183966873782 -1 0.75000939786357 0 0.961746331021194 1 0.766603762414564 2 0.66679676718188 3 0.685580336295596 4 0.644189562116262 5 0.587672328113053 6 0.590836257500571 7 0.519873461111146 8 0.489321673270798 9 0.456428574843099 10 0.410878948277435 11 0.445464293746756 12 0.53718118453928 13 0.416616297209442 14 0.34325872269613 15 0.373815388607842 16 0.348916811762301

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t1228153983q5njbvbsr8phmyz/1o7bs1228153937.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t1228153983q5njbvbsr8phmyz/1o7bs1228153937.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 0 ; par7 = 0 ;

Parameters (R input):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 1 ; par5 = 1 ; par6 = 0 ; par7 = 0 ;

R code (references can be found in the software module):

par1 <- as.numeric(par1) par2 <- as.numeric(par2) par3 <- as.numeric(par3) par4 <- as.numeric(par4) par5 <- as.numeric(par5) par6 <- as.numeric(par6) par7 <- as.numeric(par7) if (par1 == 0) { x <- log(x) } else { x <- (x ^ par1 - 1) / par1 } if (par5 == 0) { y <- log(y) } else { y <- (y ^ par5 - 1) / par5 } if (par2 > 0) x <- diff(x,lag=1,difference=par2) if (par6 > 0) y <- diff(y,lag=1,difference=par6) if (par3 > 0) x <- diff(x,lag=par4,difference=par3) if (par7 > 0) y <- diff(y,lag=par4,difference=par7) x y bitmap(file='test1.png') (r <- ccf(x,y,main='Cross Correlation Function',ylab='CCF',xlab='Lag (k)')) dev.off() load(file='createtable') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Cross Correlation Function',2,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Parameter',header=TRUE) a<-table.element(a,'Value',header=TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Box-Cox transformation parameter (lambda) of X series',header=TRUE) a<-table.element(a,par1) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of non-seasonal differencing (d) of X series',header=TRUE) a<-table.element(a,par2) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of seasonal differencing (D) of X series',header=TRUE) a<-table.element(a,par3) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Seasonal Period (s)',header=TRUE) a<-table.element(a,par4) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Box-Cox transformation parameter (lambda) of Y series',header=TRUE) a<-table.element(a,par5) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of non-seasonal differencing (d) of Y series',header=TRUE) a<-table.element(a,par6) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Degree of seasonal differencing (D) of Y series',header=TRUE) a<-table.element(a,par7) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'k',header=TRUE) a<-table.element(a,'rho(Y[t],X[t+k])',header=TRUE) a<-table.row.end(a) mylength <- length(r$acf) myhalf <- floor((mylength-1)/2) for (i in 1:mylength) { a<-table.row.start(a) a<-table.element(a,i-myhalf-1,header=TRUE) a<-table.element(a,r$acf[i]) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable.tab')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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