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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

Thu, 18 Dec 2008 06:16:48 -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/t1229606257aooy6qthgz6pz5r.htm/, Retrieved Sat, 11 May 2024 10:36:21 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=34735, Retrieved Sat, 11 May 2024 10:36:21 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

180

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

-     [Cross Correlation Function] [Cross correlation...] [2008-12-15 23:19:44] [abc1badd8768b83426be5031c0f123a6]
-   PD    [Cross Correlation Function] [cross correlation...] [2008-12-18 13:16:48] [0bb3b56b7083c5944c3818446f605d68] [Current]

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Dataseries X:

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Dataseries Y:

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Histogram

7.6
7.7
7.6
8.2
8
8.1
8.3
8.2
8.1
7.7
7.6
7.7
8.2
8.4
8.4
8.6
8.4
8.5
8.7
8.7
8.6
7.4
7.3
7.4
9
9.2
9.2
8.5
8.3
8.3
8.6
8.6
8.5
8.1
8.1
8
8.6
8.7
8.7
8.6
8.4
8.4
8.7
8.7
8.5
8.3
8.3
8.3
8.1
8.2
8.1
8.1
7.9
7.7
8.1
8
7.7
7.8
7.6
7.4
7.7

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	0 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

\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 & 0 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=34735&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]0 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Gwilym Jenkins' @ 72.249.127.135[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=34735&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=34735&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	0 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	1
Seasonal Period (s)	12
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])
-13	0.198371389252893
-12	0.0764516217461244
-11	-0.0392248609660977
-10	-0.0550177381418464
-9	-0.0331345482039400
-8	0.105849949607511
-7	-0.0323341511070957
-6	-0.168672335658485
-5	-0.0436165719949824
-4	0.208240973435212
-3	-0.170167512985075
-2	0.247175584859789
-1	-0.185916708548078
0	0.0381617258062871
1	0.0411832329756139
2	0.129397154928113
3	-0.113890794449361
4	0.0483745563591605
5	0.047842064015638
6	0.0909236196138983
7	-0.171469827527939
8	-0.00248416308424365
9	-0.0507802391765393
10	0.197123539812494
11	-0.00597814189989049
12	-0.113063156831932
13	-0.0304567413394635

\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 & 1 \tabularnewline
Degree of seasonal differencing (D) of Y series & 1 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-13 & 0.198371389252893 \tabularnewline
-12 & 0.0764516217461244 \tabularnewline
-11 & -0.0392248609660977 \tabularnewline
-10 & -0.0550177381418464 \tabularnewline
-9 & -0.0331345482039400 \tabularnewline
-8 & 0.105849949607511 \tabularnewline
-7 & -0.0323341511070957 \tabularnewline
-6 & -0.168672335658485 \tabularnewline
-5 & -0.0436165719949824 \tabularnewline
-4 & 0.208240973435212 \tabularnewline
-3 & -0.170167512985075 \tabularnewline
-2 & 0.247175584859789 \tabularnewline
-1 & -0.185916708548078 \tabularnewline
0 & 0.0381617258062871 \tabularnewline
1 & 0.0411832329756139 \tabularnewline
2 & 0.129397154928113 \tabularnewline
3 & -0.113890794449361 \tabularnewline
4 & 0.0483745563591605 \tabularnewline
5 & 0.047842064015638 \tabularnewline
6 & 0.0909236196138983 \tabularnewline
7 & -0.171469827527939 \tabularnewline
8 & -0.00248416308424365 \tabularnewline
9 & -0.0507802391765393 \tabularnewline
10 & 0.197123539812494 \tabularnewline
11 & -0.00597814189989049 \tabularnewline
12 & -0.113063156831932 \tabularnewline
13 & -0.0304567413394635 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=34735&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]1[/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]0.198371389252893[/C][/ROW]
[ROW][C]-12[/C][C]0.0764516217461244[/C][/ROW]
[ROW][C]-11[/C][C]-0.0392248609660977[/C][/ROW]
[ROW][C]-10[/C][C]-0.0550177381418464[/C][/ROW]
[ROW][C]-9[/C][C]-0.0331345482039400[/C][/ROW]
[ROW][C]-8[/C][C]0.105849949607511[/C][/ROW]
[ROW][C]-7[/C][C]-0.0323341511070957[/C][/ROW]
[ROW][C]-6[/C][C]-0.168672335658485[/C][/ROW]
[ROW][C]-5[/C][C]-0.0436165719949824[/C][/ROW]
[ROW][C]-4[/C][C]0.208240973435212[/C][/ROW]
[ROW][C]-3[/C][C]-0.170167512985075[/C][/ROW]
[ROW][C]-2[/C][C]0.247175584859789[/C][/ROW]
[ROW][C]-1[/C][C]-0.185916708548078[/C][/ROW]
[ROW][C]0[/C][C]0.0381617258062871[/C][/ROW]
[ROW][C]1[/C][C]0.0411832329756139[/C][/ROW]
[ROW][C]2[/C][C]0.129397154928113[/C][/ROW]
[ROW][C]3[/C][C]-0.113890794449361[/C][/ROW]
[ROW][C]4[/C][C]0.0483745563591605[/C][/ROW]
[ROW][C]5[/C][C]0.047842064015638[/C][/ROW]
[ROW][C]6[/C][C]0.0909236196138983[/C][/ROW]
[ROW][C]7[/C][C]-0.171469827527939[/C][/ROW]
[ROW][C]8[/C][C]-0.00248416308424365[/C][/ROW]
[ROW][C]9[/C][C]-0.0507802391765393[/C][/ROW]
[ROW][C]10[/C][C]0.197123539812494[/C][/ROW]
[ROW][C]11[/C][C]-0.00597814189989049[/C][/ROW]
[ROW][C]12[/C][C]-0.113063156831932[/C][/ROW]
[ROW][C]13[/C][C]-0.0304567413394635[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=34735&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=34735&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	1
Degree of seasonal differencing (D) of Y series	1
k	rho(Y[t],X[t+k])
-13	0.198371389252893
-12	0.0764516217461244
-11	-0.0392248609660977
-10	-0.0550177381418464
-9	-0.0331345482039400
-8	0.105849949607511
-7	-0.0323341511070957
-6	-0.168672335658485
-5	-0.0436165719949824
-4	0.208240973435212
-3	-0.170167512985075
-2	0.247175584859789
-1	-0.185916708548078
0	0.0381617258062871
1	0.0411832329756139
2	0.129397154928113
3	-0.113890794449361
4	0.0483745563591605
5	0.047842064015638
6	0.0909236196138983
7	-0.171469827527939
8	-0.00248416308424365
9	-0.0507802391765393
10	0.197123539812494
11	-0.00597814189989049
12	-0.113063156831932
13	-0.0304567413394635

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

par1 = 1 ; par2 = 0 ; par3 = 1 ; par4 = 12 ; 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')

Free Statistics

Description of Statistical Computation

Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code