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Q7 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 12:21:29 -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/t12281593558l76cwfgmylpx89.htm/, Retrieved Mon, 01 Dec 2008 19:22:35 +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/t12281593558l76cwfgmylpx89.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 «
10 12 12 13 17 12 15 12 14 19 16 17 16 19 17 17 20 18 16 19 18 23 20 20 15 17 16 15 10 13 10 19 21 17 16 17 14 18 17 14 15 16 11 15 13 17 16 9 17 15 12 12 12 12 4 7 4 3 3 0 5
 
Dataseries Y:
» Textbox « » Textfile « » CSV «
3431 3874 2617 3580 5267 3832 3441 3228 3397 3971 4625 4486 4131 4686 3174 4282 4209 4159 3936 3153 3620 4227 4441 4808 4850 5040 3546 4669 5410 5134 4864 3999 4459 4622 5360 4658 5173 4845 3325 4720 4895 5071 4895 3805 4187 4435 4475 4774 5161 4529 3284 4303 4610 4691 4200 3471 3132 4226 3723 3576 3397
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Cross Correlation Function
ParameterValue
Box-Cox transformation parameter (lambda) of X series1
Degree of non-seasonal differencing (d) of X series0
Degree of seasonal differencing (D) of X series0
Seasonal Period (s)12
Box-Cox transformation parameter (lambda) of Y series1
Degree of non-seasonal differencing (d) of Y series0
Degree of seasonal differencing (D) of Y series0
krho(Y[t],X[t+k])
-140.252837328787826
-130.198175772075666
-120.153611100662611
-110.126690236715449
-100.0811665982945745
-90.204732087188302
-80.229516692054786
-70.178742571665979
-60.123992612167403
-50.139459952859815
-40.188570311819479
-30.240522854233223
-20.330073254128364
-10.261714684849599
00.2446809612763
10.130836645839408
20.0283952737262215
30.0571217053120347
40.138653983306779
5-0.0498647754902465
6-0.149215267804809
7-0.159533315542476
8-0.104136677806486
9-0.0214244258378817
10-0.100930016787985
11-0.212963683966317
12-0.211618999348933
13-0.270404382801259
14-0.281177400051775
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t12281593558l76cwfgmylpx89/14qur1228159288.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/01/t12281593558l76cwfgmylpx89/14qur1228159288.ps (open in new window)


 
Parameters (Session):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 0 ; par7 = 0 ;
 
Parameters (R input):
par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; 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')
 




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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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