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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 14:25:11 -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/t1199654679v3eeq0hxs8vymy8.htm/, Retrieved Sat, 04 May 2024 22:43:50 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=7904, Retrieved Sat, 04 May 2024 22:43:50 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Inducing time series Q5 WG-EA2

Estimated Impact

173

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-EA2] [2008-01-06 21:25:11] [b523c8d839cc24a05ea912c062a47207] [Current]

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Dataseries X:

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Dataseries Y:

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Histogram

13.5
16.2
17.6
15.8
17.6
15.2
15.9
12.0
13.3
14.8
16.1
16.9
17.6
13.9
10.0
7.6
7.1
8.1
8.1
7.7
4.0
1.4
0.3
-1.0
-1.9
-1.5
-0.2
3.4
3.0
4.1
3.4
3.2
6.1
5.8
6.2
5.8
5.9
6.7
5.9
3.8
1.7
1.4
1.8
3.0
3.6
4.8
4.3
4.2
2.9
4.9
7.2
8.7
9.1
8.9
9.0
11.6
9.6
9.1
9.2
10.8
11.0
8.5
6.5
7.2
7.8
8.7
7.8
7.5
7.7
7.5
8.3
7.9
10.4
11.5
14.0
11.9
11.9
10.3
11.3
9.9
8.9
9.2
8.8
6.7
7.1
6.6
7.2
5.0
5.3
6.3

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	'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 & 1 seconds \tabularnewline
R Server & 'George Udny Yule' @ 72.249.76.132 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7904&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]'George Udny Yule' @ 72.249.76.132[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7904&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7904&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	'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	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	-0.0990086272223118
-15	0.0190895335123986
-14	0.0735674513126281
-13	0.0490750304443747
-12	-0.00404190093028955
-11	-0.0748431369287129
-10	-0.0645958674515863
-9	-0.00146223574920030
-8	0.103905910369504
-7	0.0887204949147091
-6	-0.0101086486790053
-5	0.115394845689973
-4	0.0566400168052319
-3	0.0879249964357028
-2	-0.169936110653238
-1	-0.096003966259594
0	0.0287065434066883
1	0.153500342861404
2	0.176449053697138
3	-0.0645120190461947
4	-0.131260070051777
5	-0.069268670374214
6	0.0438515987862695
7	0.062025000487585
8	0.167200507548331
9	-0.032356323163326
10	0.00929091724507135
11	-0.0886122349482527
12	-0.0273566455277376
13	0.0224441679992882
14	0.101461123252918
15	0.0157038119917979
16	0.117680035941666

\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 & -0.0990086272223118 \tabularnewline
-15 & 0.0190895335123986 \tabularnewline
-14 & 0.0735674513126281 \tabularnewline
-13 & 0.0490750304443747 \tabularnewline
-12 & -0.00404190093028955 \tabularnewline
-11 & -0.0748431369287129 \tabularnewline
-10 & -0.0645958674515863 \tabularnewline
-9 & -0.00146223574920030 \tabularnewline
-8 & 0.103905910369504 \tabularnewline
-7 & 0.0887204949147091 \tabularnewline
-6 & -0.0101086486790053 \tabularnewline
-5 & 0.115394845689973 \tabularnewline
-4 & 0.0566400168052319 \tabularnewline
-3 & 0.0879249964357028 \tabularnewline
-2 & -0.169936110653238 \tabularnewline
-1 & -0.096003966259594 \tabularnewline
0 & 0.0287065434066883 \tabularnewline
1 & 0.153500342861404 \tabularnewline
2 & 0.176449053697138 \tabularnewline
3 & -0.0645120190461947 \tabularnewline
4 & -0.131260070051777 \tabularnewline
5 & -0.069268670374214 \tabularnewline
6 & 0.0438515987862695 \tabularnewline
7 & 0.062025000487585 \tabularnewline
8 & 0.167200507548331 \tabularnewline
9 & -0.032356323163326 \tabularnewline
10 & 0.00929091724507135 \tabularnewline
11 & -0.0886122349482527 \tabularnewline
12 & -0.0273566455277376 \tabularnewline
13 & 0.0224441679992882 \tabularnewline
14 & 0.101461123252918 \tabularnewline
15 & 0.0157038119917979 \tabularnewline
16 & 0.117680035941666 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7904&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]-0.0990086272223118[/C][/ROW]
[ROW][C]-15[/C][C]0.0190895335123986[/C][/ROW]
[ROW][C]-14[/C][C]0.0735674513126281[/C][/ROW]
[ROW][C]-13[/C][C]0.0490750304443747[/C][/ROW]
[ROW][C]-12[/C][C]-0.00404190093028955[/C][/ROW]
[ROW][C]-11[/C][C]-0.0748431369287129[/C][/ROW]
[ROW][C]-10[/C][C]-0.0645958674515863[/C][/ROW]
[ROW][C]-9[/C][C]-0.00146223574920030[/C][/ROW]
[ROW][C]-8[/C][C]0.103905910369504[/C][/ROW]
[ROW][C]-7[/C][C]0.0887204949147091[/C][/ROW]
[ROW][C]-6[/C][C]-0.0101086486790053[/C][/ROW]
[ROW][C]-5[/C][C]0.115394845689973[/C][/ROW]
[ROW][C]-4[/C][C]0.0566400168052319[/C][/ROW]
[ROW][C]-3[/C][C]0.0879249964357028[/C][/ROW]
[ROW][C]-2[/C][C]-0.169936110653238[/C][/ROW]
[ROW][C]-1[/C][C]-0.096003966259594[/C][/ROW]
[ROW][C]0[/C][C]0.0287065434066883[/C][/ROW]
[ROW][C]1[/C][C]0.153500342861404[/C][/ROW]
[ROW][C]2[/C][C]0.176449053697138[/C][/ROW]
[ROW][C]3[/C][C]-0.0645120190461947[/C][/ROW]
[ROW][C]4[/C][C]-0.131260070051777[/C][/ROW]
[ROW][C]5[/C][C]-0.069268670374214[/C][/ROW]
[ROW][C]6[/C][C]0.0438515987862695[/C][/ROW]
[ROW][C]7[/C][C]0.062025000487585[/C][/ROW]
[ROW][C]8[/C][C]0.167200507548331[/C][/ROW]
[ROW][C]9[/C][C]-0.032356323163326[/C][/ROW]
[ROW][C]10[/C][C]0.00929091724507135[/C][/ROW]
[ROW][C]11[/C][C]-0.0886122349482527[/C][/ROW]
[ROW][C]12[/C][C]-0.0273566455277376[/C][/ROW]
[ROW][C]13[/C][C]0.0224441679992882[/C][/ROW]
[ROW][C]14[/C][C]0.101461123252918[/C][/ROW]
[ROW][C]15[/C][C]0.0157038119917979[/C][/ROW]
[ROW][C]16[/C][C]0.117680035941666[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7904&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7904&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	-0.0990086272223118
-15	0.0190895335123986
-14	0.0735674513126281
-13	0.0490750304443747
-12	-0.00404190093028955
-11	-0.0748431369287129
-10	-0.0645958674515863
-9	-0.00146223574920030
-8	0.103905910369504
-7	0.0887204949147091
-6	-0.0101086486790053
-5	0.115394845689973
-4	0.0566400168052319
-3	0.0879249964357028
-2	-0.169936110653238
-1	-0.096003966259594
0	0.0287065434066883
1	0.153500342861404
2	0.176449053697138
3	-0.0645120190461947
4	-0.131260070051777
5	-0.069268670374214
6	0.0438515987862695
7	0.062025000487585
8	0.167200507548331
9	-0.032356323163326
10	0.00929091724507135
11	-0.0886122349482527
12	-0.0273566455277376
13	0.0224441679992882
14	0.101461123252918
15	0.0157038119917979
16	0.117680035941666

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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Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code