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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 08:15:06 -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/t11996325726m1mgoxavs9avcy.htm/, Retrieved Sun, 05 May 2024 02:38:59 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=7810, Retrieved Sun, 05 May 2024 02:38:59 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

195

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 15:15:06] [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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

\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 & 1 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7810&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]1 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=7810&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7810&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	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	0
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	0
k	rho(Y[t],X[t+k])
-14	-0.18508759301674
-13	0.208232933107308
-12	-0.04289209639261
-11	-0.103252719690069
-10	0.10524373087526
-9	0.0277575023519394
-8	-0.0274347106918702
-7	0.0932828703203349
-6	0.000825171766355974
-5	-0.141529526638491
-4	0.0602388723903538
-3	-0.0914950702255136
-2	0.164083421889678
-1	-0.129909358842775
0	-0.0885868348398945
1	0.261724204186706
2	0.133923883271141
3	-0.0861388644142748
4	-0.0326748313482796
5	-0.0429143102701942
6	-0.201443317076989
7	-0.0753656052346122
8	0.122741166785936
9	0.00760643004491774
10	-0.0974398503398987
11	-0.00988754950580298
12	0.220018392460804
13	-0.222024464894906
14	-0.247400167005364

\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 & 1 \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 & 1 \tabularnewline
Degree of seasonal differencing (D) of Y series & 0 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-14 & -0.18508759301674 \tabularnewline
-13 & 0.208232933107308 \tabularnewline
-12 & -0.04289209639261 \tabularnewline
-11 & -0.103252719690069 \tabularnewline
-10 & 0.10524373087526 \tabularnewline
-9 & 0.0277575023519394 \tabularnewline
-8 & -0.0274347106918702 \tabularnewline
-7 & 0.0932828703203349 \tabularnewline
-6 & 0.000825171766355974 \tabularnewline
-5 & -0.141529526638491 \tabularnewline
-4 & 0.0602388723903538 \tabularnewline
-3 & -0.0914950702255136 \tabularnewline
-2 & 0.164083421889678 \tabularnewline
-1 & -0.129909358842775 \tabularnewline
0 & -0.0885868348398945 \tabularnewline
1 & 0.261724204186706 \tabularnewline
2 & 0.133923883271141 \tabularnewline
3 & -0.0861388644142748 \tabularnewline
4 & -0.0326748313482796 \tabularnewline
5 & -0.0429143102701942 \tabularnewline
6 & -0.201443317076989 \tabularnewline
7 & -0.0753656052346122 \tabularnewline
8 & 0.122741166785936 \tabularnewline
9 & 0.00760643004491774 \tabularnewline
10 & -0.0974398503398987 \tabularnewline
11 & -0.00988754950580298 \tabularnewline
12 & 0.220018392460804 \tabularnewline
13 & -0.222024464894906 \tabularnewline
14 & -0.247400167005364 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7810&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]1[/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]1[/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]-0.18508759301674[/C][/ROW]
[ROW][C]-13[/C][C]0.208232933107308[/C][/ROW]
[ROW][C]-12[/C][C]-0.04289209639261[/C][/ROW]
[ROW][C]-11[/C][C]-0.103252719690069[/C][/ROW]
[ROW][C]-10[/C][C]0.10524373087526[/C][/ROW]
[ROW][C]-9[/C][C]0.0277575023519394[/C][/ROW]
[ROW][C]-8[/C][C]-0.0274347106918702[/C][/ROW]
[ROW][C]-7[/C][C]0.0932828703203349[/C][/ROW]
[ROW][C]-6[/C][C]0.000825171766355974[/C][/ROW]
[ROW][C]-5[/C][C]-0.141529526638491[/C][/ROW]
[ROW][C]-4[/C][C]0.0602388723903538[/C][/ROW]
[ROW][C]-3[/C][C]-0.0914950702255136[/C][/ROW]
[ROW][C]-2[/C][C]0.164083421889678[/C][/ROW]
[ROW][C]-1[/C][C]-0.129909358842775[/C][/ROW]
[ROW][C]0[/C][C]-0.0885868348398945[/C][/ROW]
[ROW][C]1[/C][C]0.261724204186706[/C][/ROW]
[ROW][C]2[/C][C]0.133923883271141[/C][/ROW]
[ROW][C]3[/C][C]-0.0861388644142748[/C][/ROW]
[ROW][C]4[/C][C]-0.0326748313482796[/C][/ROW]
[ROW][C]5[/C][C]-0.0429143102701942[/C][/ROW]
[ROW][C]6[/C][C]-0.201443317076989[/C][/ROW]
[ROW][C]7[/C][C]-0.0753656052346122[/C][/ROW]
[ROW][C]8[/C][C]0.122741166785936[/C][/ROW]
[ROW][C]9[/C][C]0.00760643004491774[/C][/ROW]
[ROW][C]10[/C][C]-0.0974398503398987[/C][/ROW]
[ROW][C]11[/C][C]-0.00988754950580298[/C][/ROW]
[ROW][C]12[/C][C]0.220018392460804[/C][/ROW]
[ROW][C]13[/C][C]-0.222024464894906[/C][/ROW]
[ROW][C]14[/C][C]-0.247400167005364[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7810&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7810&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	1
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	1
Degree of seasonal differencing (D) of Y series	0
k	rho(Y[t],X[t+k])
-14	-0.18508759301674
-13	0.208232933107308
-12	-0.04289209639261
-11	-0.103252719690069
-10	0.10524373087526
-9	0.0277575023519394
-8	-0.0274347106918702
-7	0.0932828703203349
-6	0.000825171766355974
-5	-0.141529526638491
-4	0.0602388723903538
-3	-0.0914950702255136
-2	0.164083421889678
-1	-0.129909358842775
0	-0.0885868348398945
1	0.261724204186706
2	0.133923883271141
3	-0.0861388644142748
4	-0.0326748313482796
5	-0.0429143102701942
6	-0.201443317076989
7	-0.0753656052346122
8	0.122741166785936
9	0.00760643004491774
10	-0.0974398503398987
11	-0.00988754950580298
12	0.220018392460804
13	-0.222024464894906
14	-0.247400167005364

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 = 1 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 1 ; 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')

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Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code