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/t1228083745g5tjka4pse87b7d.htm/, Retrieved Sun, 30 Nov 2008 22:22:26 +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/t1228083745g5tjka4pse87b7d.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 «

15859,4 15258,9 15498,6 15106,5 15023,6 12083 15761,3 16942,6 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 17422 16704,5 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

Dataseries Y:

» Textbox « » Textfile « » CSV «

12710,3 12120,8 12469,5 12054,6 12112,9 9617,2 12645,8 13581,3 12162,3 10969,7 11880 11887,6 12926,9 12300 12092,8 12380,8 12196,9 9455 13168 13427,9 11980,5 11884,8 11691,7 12233,8 14341,4 13130,7 12421,1 14285,8 12864,6 11160,2 14316,2 14388,7 14013,9 13419 12769,6 13315,5 15332,9 14243 13824,4 14962,9 13202,9 12199 15508,9 14199,8 15169,6 14058 13786,2 14147,9 16541,7 13587,5 15582,4 15802,8 14130,5 12923,2 15612,2 16033,7 16036,6 14037,8 15330,6 15038,3 17401,8 14992,5 16043,7 16929,6 15921,3 14417,2 15961 17851,9 16483,9 14215,5 17429,7 17839,5 17629,2

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 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]) -15 0.256705142875821 -14 0.227825464572014 -13 0.294674924455551 -12 0.58542492237246 -11 0.385152843012632 -10 0.305102760671459 -9 0.437348053783706 -8 0.52208132342175 -7 0.44565837660062 -6 0.557138232675573 -5 0.544644244576638 -4 0.633769261434538 -3 0.573438002001274 -2 0.4913975923261 -1 0.628275459602402 0 0.998199142212563 1 0.629168244516984 2 0.489668948821833 3 0.571727965262977 4 0.633981751752039 5 0.543584606394885 6 0.563703097629806 7 0.454350166205168 8 0.530437016787906 9 0.439860823126138 10 0.302533681325983 11 0.380547440331663 12 0.581509444477227 13 0.290338451908459 14 0.219873192355127 15 0.239211996748903

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/30/t1228083745g5tjka4pse87b7d/17zxh1228083512.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Nov/30/t1228083745g5tjka4pse87b7d/17zxh1228083512.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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