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Author

*The author of this computation has been verified*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Sat, 13 Dec 2008 05:06:25 -0700

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2008/Dec/13/t1229170106kt4pxeud6zrwnkx.htm/, Retrieved Fri, 24 May 2024 21:16:17 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=32994, Retrieved Fri, 24 May 2024 21:16:17 +0000

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IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

221

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

-     [(Partial) Autocorrelation Function] [ACF d=0 D=0 voor Xt] [2008-12-13 09:26:24] [b1bd16d1f47bfe13feacf1c27a0abba5]
-   PD  [(Partial) Autocorrelation Function] [ACF d=0 D=1] [2008-12-13 09:29:39] [b1bd16d1f47bfe13feacf1c27a0abba5]
- RMPD      [Cross Correlation Function] [CCF met transform...] [2008-12-13 12:06:25] [e7b1048c2c3a353441b9143db4404b91] [Current]

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Dataseries X:

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Dataseries Y:

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Histogram

6.4
6.8
7.5
7.5
7.6
7.6
7.4
7.3
7.1
6.9
6.8
7.5
7.6
7.8
8
8.1
8.2
8.3
8.2
8
7.9
7.6
7.6
8.2
8.3
8.4
8.4
8.4
8.6
8.9
8.8
8.3
7.5
7.2
7.5
8.8
9.3
9.3
8.7
8.2
8.3
8.5
8.6
8.6
8.2
8.1
8
8.6
8.7
8.8
8.5
8.4
8.5
8.7
8.7
8.6
8.5
8.3
8.1
8.2
8.1
8.1
7.9
7.9
7.9
8
8
7.9
8
7.7
7.2
7.5
7.3
7
7
7
7.2
7.3
7.1
6.8
6.6
6.2
6.2
6.8

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 1 seconds \tabularnewline
R Server & 'George Udny Yule' @ 72.249.76.132 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=32994&T=0

[TABLE]
[ROW][C]Summary of computational transaction[/C][/ROW]
[ROW][C]Raw Input[/C][C]view raw input (R code) [/C][/ROW]
[ROW][C]Raw Output[/C][C]view raw output of R engine [/C][/ROW]
[ROW][C]Computing time[/C][C]1 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'George Udny Yule' @ 72.249.76.132[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=32994&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=32994&T=0

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

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	1
Seasonal Period (s)	12
Box-Cox transformation parameter (lambda) of Y series	1
Degree of non-seasonal differencing (d) of Y series	2
Degree of seasonal differencing (D) of Y series	1
k	rho(Y[t],X[t+k])
-15	0.243124726832891
-14	0.133330475383114
-13	0.0423177122606378
-12	0.0297043767825506
-11	-0.209570201479934
-10	-0.0797845765427001
-9	0.0278782417043689
-8	-0.107934194357760
-7	0.0710892336626931
-6	0.136213846559190
-5	0.0398527125885413
-4	0.0190980937897703
-3	0.0871230388692621
-2	-0.201802060311448
-1	-0.0715867565322901
0	-0.0406838019275273
1	-0.0430470355581162
2	0.144422973907546
3	0.124114994957619
4	-0.0478413468469625
5	-0.143914143700004
6	0.0237849853681368
7	-0.103326454145012
8	0.252040562802835
9	-0.0722765041469595
10	-0.075188143667898
11	0.0252549393010384
12	0.0452406591195207
13	-0.00988261336427377
14	0.0470159111769489
15	-0.0310725646739439

\begin{tabular}{lllllllll}
\hline
Cross Correlation Function \tabularnewline
Parameter & Value \tabularnewline
Box-Cox transformation parameter (lambda) of X series & 1 \tabularnewline
Degree of non-seasonal differencing (d) of X series & 0 \tabularnewline
Degree of seasonal differencing (D) of X series & 1 \tabularnewline
Seasonal Period (s) & 12 \tabularnewline
Box-Cox transformation parameter (lambda) of Y series & 1 \tabularnewline
Degree of non-seasonal differencing (d) of Y series & 2 \tabularnewline
Degree of seasonal differencing (D) of Y series & 1 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-15 & 0.243124726832891 \tabularnewline
-14 & 0.133330475383114 \tabularnewline
-13 & 0.0423177122606378 \tabularnewline
-12 & 0.0297043767825506 \tabularnewline
-11 & -0.209570201479934 \tabularnewline
-10 & -0.0797845765427001 \tabularnewline
-9 & 0.0278782417043689 \tabularnewline
-8 & -0.107934194357760 \tabularnewline
-7 & 0.0710892336626931 \tabularnewline
-6 & 0.136213846559190 \tabularnewline
-5 & 0.0398527125885413 \tabularnewline
-4 & 0.0190980937897703 \tabularnewline
-3 & 0.0871230388692621 \tabularnewline
-2 & -0.201802060311448 \tabularnewline
-1 & -0.0715867565322901 \tabularnewline
0 & -0.0406838019275273 \tabularnewline
1 & -0.0430470355581162 \tabularnewline
2 & 0.144422973907546 \tabularnewline
3 & 0.124114994957619 \tabularnewline
4 & -0.0478413468469625 \tabularnewline
5 & -0.143914143700004 \tabularnewline
6 & 0.0237849853681368 \tabularnewline
7 & -0.103326454145012 \tabularnewline
8 & 0.252040562802835 \tabularnewline
9 & -0.0722765041469595 \tabularnewline
10 & -0.075188143667898 \tabularnewline
11 & 0.0252549393010384 \tabularnewline
12 & 0.0452406591195207 \tabularnewline
13 & -0.00988261336427377 \tabularnewline
14 & 0.0470159111769489 \tabularnewline
15 & -0.0310725646739439 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=32994&T=1

[TABLE]
[ROW][C]Cross Correlation Function[/C][/ROW]
[ROW][C]Parameter[/C][C]Value[/C][/ROW]
[ROW][C]Box-Cox transformation parameter (lambda) of X series[/C][C]1[/C][/ROW]
[ROW][C]Degree of non-seasonal differencing (d) of X series[/C][C]0[/C][/ROW]
[ROW][C]Degree of seasonal differencing (D) of X series[/C][C]1[/C][/ROW]
[ROW][C]Seasonal Period (s)[/C][C]12[/C][/ROW]
[ROW][C]Box-Cox transformation parameter (lambda) of Y series[/C][C]1[/C][/ROW]
[ROW][C]Degree of non-seasonal differencing (d) of Y series[/C][C]2[/C][/ROW]
[ROW][C]Degree of seasonal differencing (D) of Y series[/C][C]1[/C][/ROW]
[ROW][C]k[/C][C]rho(Y[t],X[t+k])[/C][/ROW]
[ROW][C]-15[/C][C]0.243124726832891[/C][/ROW]
[ROW][C]-14[/C][C]0.133330475383114[/C][/ROW]
[ROW][C]-13[/C][C]0.0423177122606378[/C][/ROW]
[ROW][C]-12[/C][C]0.0297043767825506[/C][/ROW]
[ROW][C]-11[/C][C]-0.209570201479934[/C][/ROW]
[ROW][C]-10[/C][C]-0.0797845765427001[/C][/ROW]
[ROW][C]-9[/C][C]0.0278782417043689[/C][/ROW]
[ROW][C]-8[/C][C]-0.107934194357760[/C][/ROW]
[ROW][C]-7[/C][C]0.0710892336626931[/C][/ROW]
[ROW][C]-6[/C][C]0.136213846559190[/C][/ROW]
[ROW][C]-5[/C][C]0.0398527125885413[/C][/ROW]
[ROW][C]-4[/C][C]0.0190980937897703[/C][/ROW]
[ROW][C]-3[/C][C]0.0871230388692621[/C][/ROW]
[ROW][C]-2[/C][C]-0.201802060311448[/C][/ROW]
[ROW][C]-1[/C][C]-0.0715867565322901[/C][/ROW]
[ROW][C]0[/C][C]-0.0406838019275273[/C][/ROW]
[ROW][C]1[/C][C]-0.0430470355581162[/C][/ROW]
[ROW][C]2[/C][C]0.144422973907546[/C][/ROW]
[ROW][C]3[/C][C]0.124114994957619[/C][/ROW]
[ROW][C]4[/C][C]-0.0478413468469625[/C][/ROW]
[ROW][C]5[/C][C]-0.143914143700004[/C][/ROW]
[ROW][C]6[/C][C]0.0237849853681368[/C][/ROW]
[ROW][C]7[/C][C]-0.103326454145012[/C][/ROW]
[ROW][C]8[/C][C]0.252040562802835[/C][/ROW]
[ROW][C]9[/C][C]-0.0722765041469595[/C][/ROW]
[ROW][C]10[/C][C]-0.075188143667898[/C][/ROW]
[ROW][C]11[/C][C]0.0252549393010384[/C][/ROW]
[ROW][C]12[/C][C]0.0452406591195207[/C][/ROW]
[ROW][C]13[/C][C]-0.00988261336427377[/C][/ROW]
[ROW][C]14[/C][C]0.0470159111769489[/C][/ROW]
[ROW][C]15[/C][C]-0.0310725646739439[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=32994&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=32994&T=1

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

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	1
Seasonal Period (s)	12
Box-Cox transformation parameter (lambda) of Y series	1
Degree of non-seasonal differencing (d) of Y series	2
Degree of seasonal differencing (D) of Y series	1
k	rho(Y[t],X[t+k])
-15	0.243124726832891
-14	0.133330475383114
-13	0.0423177122606378
-12	0.0297043767825506
-11	-0.209570201479934
-10	-0.0797845765427001
-9	0.0278782417043689
-8	-0.107934194357760
-7	0.0710892336626931
-6	0.136213846559190
-5	0.0398527125885413
-4	0.0190980937897703
-3	0.0871230388692621
-2	-0.201802060311448
-1	-0.0715867565322901
0	-0.0406838019275273
1	-0.0430470355581162
2	0.144422973907546
3	0.124114994957619
4	-0.0478413468469625
5	-0.143914143700004
6	0.0237849853681368
7	-0.103326454145012
8	0.252040562802835
9	-0.0722765041469595
10	-0.075188143667898
11	0.0252549393010384
12	0.0452406591195207
13	-0.00988261336427377
14	0.0470159111769489
15	-0.0310725646739439

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 2 ; par4 = 12 ;

Parameters (R input):

par1 = 1 ; par2 = 0 ; par3 = 1 ; par4 = 12 ; par5 = 1 ; par6 = 2 ; par7 = 1 ;

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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Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code