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Author

*Unverified author*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Thu, 18 Dec 2008 03:41:47 -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/18/t1229596950auk7ltz0d8ux4wk.htm/, Retrieved Sun, 12 May 2024 10:10:39 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=34637, Retrieved Sun, 12 May 2024 10:10:39 +0000

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No (this computation is public)

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Estimated Impact

188

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

-       [Cross Correlation Function] [] [2008-12-18 10:41:47] [86e877ba38171644c8ca01af8044e645] [Current]

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Dataseries X:

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Histogram

Boxplots

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
6.9
6.8

Dataseries Y:

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Histogram

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=34637&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=34637&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=34637&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	2
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	0
Degree of seasonal differencing (D) of Y series	1
k	rho(Y[t],X[t+k])
-13	-0.165300331409057
-12	-0.0342355404112693
-11	0.107462514796449
-10	-0.302433088187769
-9	-0.0175494077938329
-8	0.233063455887055
-7	-0.249385484045174
-6	0.111353660268216
-5	-0.0831975743708102
-4	-0.0049598922180452
-3	0.0938520485492416
-2	0.0418495508755297
-1	-0.006352385566903
0	-0.207947465475199
1	0.164565568020993
2	-0.0319083355337633
3	0.112962156525482
4	-0.0772882414793234
5	-0.197643618588597
6	0.180923314355238
7	0.120722721980446
8	-0.09572316545819
9	0.104729669271307
10	0.0245813224558195
11	-0.182608917685502
12	0.20037815796539
13	-0.111334438734260

\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 & 2 \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 & 0 \tabularnewline
Degree of seasonal differencing (D) of Y series & 1 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-13 & -0.165300331409057 \tabularnewline
-12 & -0.0342355404112693 \tabularnewline
-11 & 0.107462514796449 \tabularnewline
-10 & -0.302433088187769 \tabularnewline
-9 & -0.0175494077938329 \tabularnewline
-8 & 0.233063455887055 \tabularnewline
-7 & -0.249385484045174 \tabularnewline
-6 & 0.111353660268216 \tabularnewline
-5 & -0.0831975743708102 \tabularnewline
-4 & -0.0049598922180452 \tabularnewline
-3 & 0.0938520485492416 \tabularnewline
-2 & 0.0418495508755297 \tabularnewline
-1 & -0.006352385566903 \tabularnewline
0 & -0.207947465475199 \tabularnewline
1 & 0.164565568020993 \tabularnewline
2 & -0.0319083355337633 \tabularnewline
3 & 0.112962156525482 \tabularnewline
4 & -0.0772882414793234 \tabularnewline
5 & -0.197643618588597 \tabularnewline
6 & 0.180923314355238 \tabularnewline
7 & 0.120722721980446 \tabularnewline
8 & -0.09572316545819 \tabularnewline
9 & 0.104729669271307 \tabularnewline
10 & 0.0245813224558195 \tabularnewline
11 & -0.182608917685502 \tabularnewline
12 & 0.20037815796539 \tabularnewline
13 & -0.111334438734260 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=34637&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]2[/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]0[/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]-13[/C][C]-0.165300331409057[/C][/ROW]
[ROW][C]-12[/C][C]-0.0342355404112693[/C][/ROW]
[ROW][C]-11[/C][C]0.107462514796449[/C][/ROW]
[ROW][C]-10[/C][C]-0.302433088187769[/C][/ROW]
[ROW][C]-9[/C][C]-0.0175494077938329[/C][/ROW]
[ROW][C]-8[/C][C]0.233063455887055[/C][/ROW]
[ROW][C]-7[/C][C]-0.249385484045174[/C][/ROW]
[ROW][C]-6[/C][C]0.111353660268216[/C][/ROW]
[ROW][C]-5[/C][C]-0.0831975743708102[/C][/ROW]
[ROW][C]-4[/C][C]-0.0049598922180452[/C][/ROW]
[ROW][C]-3[/C][C]0.0938520485492416[/C][/ROW]
[ROW][C]-2[/C][C]0.0418495508755297[/C][/ROW]
[ROW][C]-1[/C][C]-0.006352385566903[/C][/ROW]
[ROW][C]0[/C][C]-0.207947465475199[/C][/ROW]
[ROW][C]1[/C][C]0.164565568020993[/C][/ROW]
[ROW][C]2[/C][C]-0.0319083355337633[/C][/ROW]
[ROW][C]3[/C][C]0.112962156525482[/C][/ROW]
[ROW][C]4[/C][C]-0.0772882414793234[/C][/ROW]
[ROW][C]5[/C][C]-0.197643618588597[/C][/ROW]
[ROW][C]6[/C][C]0.180923314355238[/C][/ROW]
[ROW][C]7[/C][C]0.120722721980446[/C][/ROW]
[ROW][C]8[/C][C]-0.09572316545819[/C][/ROW]
[ROW][C]9[/C][C]0.104729669271307[/C][/ROW]
[ROW][C]10[/C][C]0.0245813224558195[/C][/ROW]
[ROW][C]11[/C][C]-0.182608917685502[/C][/ROW]
[ROW][C]12[/C][C]0.20037815796539[/C][/ROW]
[ROW][C]13[/C][C]-0.111334438734260[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=34637&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=34637&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	2
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	0
Degree of seasonal differencing (D) of Y series	1
k	rho(Y[t],X[t+k])
-13	-0.165300331409057
-12	-0.0342355404112693
-11	0.107462514796449
-10	-0.302433088187769
-9	-0.0175494077938329
-8	0.233063455887055
-7	-0.249385484045174
-6	0.111353660268216
-5	-0.0831975743708102
-4	-0.0049598922180452
-3	0.0938520485492416
-2	0.0418495508755297
-1	-0.006352385566903
0	-0.207947465475199
1	0.164565568020993
2	-0.0319083355337633
3	0.112962156525482
4	-0.0772882414793234
5	-0.197643618588597
6	0.180923314355238
7	0.120722721980446
8	-0.09572316545819
9	0.104729669271307
10	0.0245813224558195
11	-0.182608917685502
12	0.20037815796539
13	-0.111334438734260

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

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

Free Statistics

Description of Statistical Computation

Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code