Non Stationary Time Series - Q7

*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, 30 Nov 2008 15:18:34 -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/Nov/30/t1228083549jgnx183tye15p60.htm/, Retrieved Sun, 30 Nov 2008 22:19:10 +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/Nov/30/t1228083549jgnx183tye15p60.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 «

2173 2363 2126 1905 2121 1983 1734 2074 2049 2406 2558 2251 2059 2397 1747 1707 2319 1631 1627 1791 2034 1997 2169 2028 2253 2218 1855 2187 1852 1570 1851 1954 1828 2251 2277 2085 2282 2266 1878 2267 2069 1746 2299 2360 2214 2825 2355 2333 3016 2155 2172 2150 2533 2058 2160 2259 2498 2695 2799 2945 2930 2318 2540 2570 2669 2450 2842 3439 2677 2979 2257 2842 2546 2455 2293 2379 2478 2054 2272 2351 2271 2542 2304 2194 2722 2395 2146 1894 2548 2087 2063 2481 2476 2212 2834 2148 2598

Dataseries Y:

» Textbox « » Textfile « » CSV «

2752 2373 1415 2466 2318 2346 1644 1421 1423 1930 2694 4938 1727 1899 1364 1992 2051 2082 1746 1271 1363 1664 2179 2305 2098 2231 1407 1966 2293 2045 1532 1333 1583 1712 2641 2267 2126 2231 1517 2010 2628 2115 1829 1636 1787 2122 2620 2555 2337 2524 1801 2417 2389 2267 2135 1760 1905 2176 2344 2673 2766 2785 2003 2588 2739 2703 2464 1974 2164 2385 2936 2700 2855 2764 1808 2588 2600 2526 2259 1738 1902 2137 2460 2495 2525 2465 1828 2273 2377 2344 2071 1611 1671 2256 1983 1921 2027

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 1 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Cross Correlation Function Parameter Value Box-Cox transformation parameter (lambda) of X series 1 Degree of non-seasonal differencing (d) of X series 1 Degree of seasonal differencing (D) of X series 1 Seasonal Period (s) 1 Box-Cox transformation parameter (lambda) of Y series 1 Degree of non-seasonal differencing (d) of Y series 1 Degree of seasonal differencing (D) of Y series 1 k rho(Y[t],X[t+k]) -16 0.0618185300707765 -15 0.0281614326032631 -14 -0.0735480182168917 -13 0.0323649115384135 -12 0.0705332245655604 -11 -0.0618340699731118 -10 -0.0903311192673164 -9 0.215924406712974 -8 -0.169130156763597 -7 -0.0165917329697621 -6 0.181643024163942 -5 -0.243004621204517 -4 0.186129493528045 -3 -0.0555564417093326 -2 -0.10640895838926 -1 0.18141855912619 0 -0.0595044371578868 1 -0.0531719377306916 2 0.00574137759465979 3 0.118922456332185 4 -0.21554140708251 5 0.155606896734494 6 0.0409087731002311 7 -0.163916807838812 8 0.101331218632969 9 0.0326358993664420 10 -0.124160446255919 11 0.133882678847388 12 -0.0736041754642513 13 0.0440231478953377 14 -0.0402986521387078 15 -0.0246265821342323 16 0.0949215387240538

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/30/t1228083549jgnx183tye15p60/1hxw91228083512.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/30/t1228083549jgnx183tye15p60/1hxw91228083512.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 2 ; par4 = 2 ; par5 = 12 ;

Parameters (R input):

par1 = 1 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 1 ; par6 = 1 ; 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')

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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