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Author's title

Author

*Unverified author*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Sun, 06 Jan 2008 14:21:18 -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/t1199654483b8g2ckdc7ckijcq.htm/, Retrieved Sun, 05 May 2024 03:10:54 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=7902, Retrieved Sun, 05 May 2024 03:10:54 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Inducing time series Q5 WG-WL

Estimated Impact

172

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

-     [Central Tendency] [WS2 - Robustness ...] [2007-10-20 13:06:37] [5343e105a400b9e32bf6f011133bbaf4]
- RM D    [Cross Correlation Function] [CVWS7Q5WG-WL] [2008-01-06 21:21:18] [b523c8d839cc24a05ea912c062a47207] [Current]

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Dataseries X:

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Dataseries Y:

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Histogram

7.3
7.2
7.1
6.9
6.8
6.7
6.8
6.8
6.7
6.8
6.8
6.7
6.3
6.2
6.2
6.5
6.5
6.4
6.2
6.2
6.3
7.5
7.4
7.4
7.4
7.4
7.4
7.2
7.2
7.2
7.5
7.4
7.5
8.0
8.0
8.0
8.1
8.1
8.1
7.9
7.9
8.0
8.2
8.1
8.2
8.5
8.5
8.6
8.4
8.4
8.4
7.7
7.8
7.9
8.8
8.8
8.9
8.5
8.5
8.5
8.4
8.5
8.4
8.3
8.4
8.4
8.5
8.5
8.5
8.5
8.5
8.5
8.5
8.5
8.5
8.3
8.3
8.3
8.2
8.1
8.1
8.2
8.0
7.9
7.9
7.8
7.7
7.9
7.7
7.6

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

\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 & 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7902&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]'Herman Ole Andreas Wold' @ 193.190.124.10:1001[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7902&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7902&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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

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)	1
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])
-16	0.005097664815766
-15	0.18479945361045
-14	0.035686439645773
-13	0.00101925436961226
-12	-0.159446247399047
-11	-0.0388624060141856
-10	0.0213460361136121
-9	-0.120505636197972
-8	-0.0471913579158091
-7	-0.00116909789564093
-6	-0.212375438288967
-5	-0.0501008694617087
-4	-0.0371797010260092
-3	0.495901478022771
-2	0.0426090911510571
-1	-0.0327393179718262
0	-0.339795368185991
1	-0.0217056207770033
2	-0.0160129597556261
3	-0.106311693270268
4	0.0368151414779555
5	0.0333514277806757
6	-0.0784656718522808
7	0.022102616573055
8	-0.00372957153363339
9	0.306602937719122
10	0.0528177534734844
11	-0.00423820374150707
12	-0.00145007938136632
13	0.00799722659234129
14	0.00641083537122682
15	-0.155190731058917
16	-0.0385589380497854

\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) & 1 \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
-16 & 0.005097664815766 \tabularnewline
-15 & 0.18479945361045 \tabularnewline
-14 & 0.035686439645773 \tabularnewline
-13 & 0.00101925436961226 \tabularnewline
-12 & -0.159446247399047 \tabularnewline
-11 & -0.0388624060141856 \tabularnewline
-10 & 0.0213460361136121 \tabularnewline
-9 & -0.120505636197972 \tabularnewline
-8 & -0.0471913579158091 \tabularnewline
-7 & -0.00116909789564093 \tabularnewline
-6 & -0.212375438288967 \tabularnewline
-5 & -0.0501008694617087 \tabularnewline
-4 & -0.0371797010260092 \tabularnewline
-3 & 0.495901478022771 \tabularnewline
-2 & 0.0426090911510571 \tabularnewline
-1 & -0.0327393179718262 \tabularnewline
0 & -0.339795368185991 \tabularnewline
1 & -0.0217056207770033 \tabularnewline
2 & -0.0160129597556261 \tabularnewline
3 & -0.106311693270268 \tabularnewline
4 & 0.0368151414779555 \tabularnewline
5 & 0.0333514277806757 \tabularnewline
6 & -0.0784656718522808 \tabularnewline
7 & 0.022102616573055 \tabularnewline
8 & -0.00372957153363339 \tabularnewline
9 & 0.306602937719122 \tabularnewline
10 & 0.0528177534734844 \tabularnewline
11 & -0.00423820374150707 \tabularnewline
12 & -0.00145007938136632 \tabularnewline
13 & 0.00799722659234129 \tabularnewline
14 & 0.00641083537122682 \tabularnewline
15 & -0.155190731058917 \tabularnewline
16 & -0.0385589380497854 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7902&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]1[/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]-16[/C][C]0.005097664815766[/C][/ROW]
[ROW][C]-15[/C][C]0.18479945361045[/C][/ROW]
[ROW][C]-14[/C][C]0.035686439645773[/C][/ROW]
[ROW][C]-13[/C][C]0.00101925436961226[/C][/ROW]
[ROW][C]-12[/C][C]-0.159446247399047[/C][/ROW]
[ROW][C]-11[/C][C]-0.0388624060141856[/C][/ROW]
[ROW][C]-10[/C][C]0.0213460361136121[/C][/ROW]
[ROW][C]-9[/C][C]-0.120505636197972[/C][/ROW]
[ROW][C]-8[/C][C]-0.0471913579158091[/C][/ROW]
[ROW][C]-7[/C][C]-0.00116909789564093[/C][/ROW]
[ROW][C]-6[/C][C]-0.212375438288967[/C][/ROW]
[ROW][C]-5[/C][C]-0.0501008694617087[/C][/ROW]
[ROW][C]-4[/C][C]-0.0371797010260092[/C][/ROW]
[ROW][C]-3[/C][C]0.495901478022771[/C][/ROW]
[ROW][C]-2[/C][C]0.0426090911510571[/C][/ROW]
[ROW][C]-1[/C][C]-0.0327393179718262[/C][/ROW]
[ROW][C]0[/C][C]-0.339795368185991[/C][/ROW]
[ROW][C]1[/C][C]-0.0217056207770033[/C][/ROW]
[ROW][C]2[/C][C]-0.0160129597556261[/C][/ROW]
[ROW][C]3[/C][C]-0.106311693270268[/C][/ROW]
[ROW][C]4[/C][C]0.0368151414779555[/C][/ROW]
[ROW][C]5[/C][C]0.0333514277806757[/C][/ROW]
[ROW][C]6[/C][C]-0.0784656718522808[/C][/ROW]
[ROW][C]7[/C][C]0.022102616573055[/C][/ROW]
[ROW][C]8[/C][C]-0.00372957153363339[/C][/ROW]
[ROW][C]9[/C][C]0.306602937719122[/C][/ROW]
[ROW][C]10[/C][C]0.0528177534734844[/C][/ROW]
[ROW][C]11[/C][C]-0.00423820374150707[/C][/ROW]
[ROW][C]12[/C][C]-0.00145007938136632[/C][/ROW]
[ROW][C]13[/C][C]0.00799722659234129[/C][/ROW]
[ROW][C]14[/C][C]0.00641083537122682[/C][/ROW]
[ROW][C]15[/C][C]-0.155190731058917[/C][/ROW]
[ROW][C]16[/C][C]-0.0385589380497854[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7902&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7902&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)	1
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])
-16	0.005097664815766
-15	0.18479945361045
-14	0.035686439645773
-13	0.00101925436961226
-12	-0.159446247399047
-11	-0.0388624060141856
-10	0.0213460361136121
-9	-0.120505636197972
-8	-0.0471913579158091
-7	-0.00116909789564093
-6	-0.212375438288967
-5	-0.0501008694617087
-4	-0.0371797010260092
-3	0.495901478022771
-2	0.0426090911510571
-1	-0.0327393179718262
0	-0.339795368185991
1	-0.0217056207770033
2	-0.0160129597556261
3	-0.106311693270268
4	0.0368151414779555
5	0.0333514277806757
6	-0.0784656718522808
7	0.022102616573055
8	-0.00372957153363339
9	0.306602937719122
10	0.0528177534734844
11	-0.00423820374150707
12	-0.00145007938136632
13	0.00799722659234129
14	0.00641083537122682
15	-0.155190731058917
16	-0.0385589380497854

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

Parameters (R input):

par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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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Figures (Output of Computation)

Input Parameters & R Code