Paper: cross correlation function

*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: Sun, 07 Dec 2008 18:07:52 -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/08/t122869853507syqus8nz7zxo6.htm/, Retrieved Mon, 08 Dec 2008 01:08:56 +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/08/t122869853507syqus8nz7zxo6.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 «

15107 15024 12083 15761 16943 15070 13660 14769 14725 15998 15371 14957 15470 15102 11704 16284 16727 14969 14861 14583 15306 17904 16379 15420 17871 15913 13867 17823 17872 17422 16705 15991 16584 19124 17839 17209 18587 16258 15142 19202 17747 19090 18040 17516 17752 21073 17170 19440 19795 17575 16165 19465 19932 19961 17343 18924 18574 21351 18595 19823 20844 19640 17735 19814 22239 20682 17819 21872 22117 21866

Dataseries Y:

» Textbox « » Textfile « » CSV «

12055 12113 9617 12646 13581 12162 10970 11880 11888 12927 12300 12093 12381 12197 9455 13168 13428 11981 11885 11692 12234 14341 13131 12421 14286 12865 11160 14316 14389 14014 13419 12770 13316 15333 14243 13824 14963 13203 12199 15509 14200 15170 14058 13786 14148 16542 13588 15582 15803 14131 12923 15612 16034 16037 14038 15331 15038 17402 14993 16044 16930 15921 14417 15961 17852 16484 14216 17430 17840 17629

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) 12 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]) -15 0.218837754940751 -14 0.20589305499289 -13 0.27490347608305 -12 0.575699088027702 -11 0.370695472525139 -10 0.285127238937388 -9 0.4100541659774 -8 0.496615494984702 -7 0.42783657516926 -6 0.55454728531017 -5 0.529024788171398 -4 0.606114776883331 -3 0.542908982431682 -2 0.474998632035226 -1 0.615857367911664 0 0.998183884114919 1 0.616892901822097 2 0.472413288654192 3 0.540907309618925 4 0.604370628502162 5 0.527375019196856 6 0.560792519615313 7 0.435499239294765 8 0.503058283877075 9 0.410762111620601 10 0.280085113512224 11 0.364589269244756 12 0.570102478284111 13 0.269107090322292 14 0.196211477064554 15 0.199448007885065

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t122869853507syqus8nz7zxo6/1geyw1228698468.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t122869853507syqus8nz7zxo6/1geyw1228698468.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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Software written by Ed van Stee & Patrick Wessa

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