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Author

*Unverified author*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Sun, 06 Jan 2008 08:11:04 -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/Jan/06/t1199632359olk0mm9mnihhmzj.htm/, Retrieved Sun, 05 May 2024 04:55:09 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=7808, Retrieved Sun, 05 May 2024 04:55:09 +0000

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Original text written by user:

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No (this computation is public)

User-defined keywords

Estimated Impact

203

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

-       [Cross Correlation Function] [Crosscorrelation ...] [2008-01-06 15:11:04] [fea8286ffce1c0d00dd375fb36de4323] [Current]

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Dataseries X:

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Histogram

Boxplots

1.1
1.3
1.2
1.6
1.7
1.5
0.9
1.5
1.4
1.6
1.7
1.4
1.8
1.7
1.4
1.2
1
1.7
2.4
2
2.1
2
1.8
2.7
2.3
1.9
2
2.3
2.8
2.4
2.3
2.7
2.7
2.9
3
2.2
2.3
2.8
2.8
2.8
2.2
2.6
2.8
2.5
2.4
2.3
1.9
1.7
2
2.1
1.7
1.8
1.8
1.8
1.3
1.3
1.3
1.2
1.4
2.2

Dataseries Y:

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Histogram

Summary of compuational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'George Udny Yule' @ 72.249.76.132

\begin{tabular}{lllllllll}
\hline
Summary of compuational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 2 seconds \tabularnewline
R Server & 'George Udny Yule' @ 72.249.76.132 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7808&T=0

[TABLE]
[ROW][C]Summary of compuational 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]2 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=7808&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7808&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 compuational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 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	0
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	0
k	rho(Y[t],X[t+k])
-14	0.676358396312496
-13	0.679227139904685
-12	0.642305822836824
-11	0.626752060499298
-10	0.631219904246613
-9	0.592983072264903
-8	0.561045844178345
-7	0.535750153080084
-6	0.498660537873022
-5	0.429860859041692
-4	0.379636707895078
-3	0.316883937756848
-2	0.253225039961922
-1	0.180383844894011
0	0.173456954307237
1	0.138700722799979
2	0.0779007163214036
3	-0.00143329385210064
4	-0.0579478777728237
5	-0.107925300104324
6	-0.158975124606803
7	-0.203466777531916
8	-0.224451170125959
9	-0.263388428952537
10	-0.300031412945498
11	-0.320360349459977
12	-0.347509715373595
13	-0.392538799430718
14	-0.41141826499741

\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 & 0 \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 & 0 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-14 & 0.676358396312496 \tabularnewline
-13 & 0.679227139904685 \tabularnewline
-12 & 0.642305822836824 \tabularnewline
-11 & 0.626752060499298 \tabularnewline
-10 & 0.631219904246613 \tabularnewline
-9 & 0.592983072264903 \tabularnewline
-8 & 0.561045844178345 \tabularnewline
-7 & 0.535750153080084 \tabularnewline
-6 & 0.498660537873022 \tabularnewline
-5 & 0.429860859041692 \tabularnewline
-4 & 0.379636707895078 \tabularnewline
-3 & 0.316883937756848 \tabularnewline
-2 & 0.253225039961922 \tabularnewline
-1 & 0.180383844894011 \tabularnewline
0 & 0.173456954307237 \tabularnewline
1 & 0.138700722799979 \tabularnewline
2 & 0.0779007163214036 \tabularnewline
3 & -0.00143329385210064 \tabularnewline
4 & -0.0579478777728237 \tabularnewline
5 & -0.107925300104324 \tabularnewline
6 & -0.158975124606803 \tabularnewline
7 & -0.203466777531916 \tabularnewline
8 & -0.224451170125959 \tabularnewline
9 & -0.263388428952537 \tabularnewline
10 & -0.300031412945498 \tabularnewline
11 & -0.320360349459977 \tabularnewline
12 & -0.347509715373595 \tabularnewline
13 & -0.392538799430718 \tabularnewline
14 & -0.41141826499741 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7808&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]0[/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]0[/C][/ROW]
[ROW][C]k[/C][C]rho(Y[t],X[t+k])[/C][/ROW]
[ROW][C]-14[/C][C]0.676358396312496[/C][/ROW]
[ROW][C]-13[/C][C]0.679227139904685[/C][/ROW]
[ROW][C]-12[/C][C]0.642305822836824[/C][/ROW]
[ROW][C]-11[/C][C]0.626752060499298[/C][/ROW]
[ROW][C]-10[/C][C]0.631219904246613[/C][/ROW]
[ROW][C]-9[/C][C]0.592983072264903[/C][/ROW]
[ROW][C]-8[/C][C]0.561045844178345[/C][/ROW]
[ROW][C]-7[/C][C]0.535750153080084[/C][/ROW]
[ROW][C]-6[/C][C]0.498660537873022[/C][/ROW]
[ROW][C]-5[/C][C]0.429860859041692[/C][/ROW]
[ROW][C]-4[/C][C]0.379636707895078[/C][/ROW]
[ROW][C]-3[/C][C]0.316883937756848[/C][/ROW]
[ROW][C]-2[/C][C]0.253225039961922[/C][/ROW]
[ROW][C]-1[/C][C]0.180383844894011[/C][/ROW]
[ROW][C]0[/C][C]0.173456954307237[/C][/ROW]
[ROW][C]1[/C][C]0.138700722799979[/C][/ROW]
[ROW][C]2[/C][C]0.0779007163214036[/C][/ROW]
[ROW][C]3[/C][C]-0.00143329385210064[/C][/ROW]
[ROW][C]4[/C][C]-0.0579478777728237[/C][/ROW]
[ROW][C]5[/C][C]-0.107925300104324[/C][/ROW]
[ROW][C]6[/C][C]-0.158975124606803[/C][/ROW]
[ROW][C]7[/C][C]-0.203466777531916[/C][/ROW]
[ROW][C]8[/C][C]-0.224451170125959[/C][/ROW]
[ROW][C]9[/C][C]-0.263388428952537[/C][/ROW]
[ROW][C]10[/C][C]-0.300031412945498[/C][/ROW]
[ROW][C]11[/C][C]-0.320360349459977[/C][/ROW]
[ROW][C]12[/C][C]-0.347509715373595[/C][/ROW]
[ROW][C]13[/C][C]-0.392538799430718[/C][/ROW]
[ROW][C]14[/C][C]-0.41141826499741[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7808&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7808&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	0
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	0
k	rho(Y[t],X[t+k])
-14	0.676358396312496
-13	0.679227139904685
-12	0.642305822836824
-11	0.626752060499298
-10	0.631219904246613
-9	0.592983072264903
-8	0.561045844178345
-7	0.535750153080084
-6	0.498660537873022
-5	0.429860859041692
-4	0.379636707895078
-3	0.316883937756848
-2	0.253225039961922
-1	0.180383844894011
0	0.173456954307237
1	0.138700722799979
2	0.0779007163214036
3	-0.00143329385210064
4	-0.0579478777728237
5	-0.107925300104324
6	-0.158975124606803
7	-0.203466777531916
8	-0.224451170125959
9	-0.263388428952537
10	-0.300031412945498
11	-0.320360349459977
12	-0.347509715373595
13	-0.392538799430718
14	-0.41141826499741

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

par1 = 1 ; par2 = 0 ; par3 = 0 ; par4 = 12 ; 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) x <- 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

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code