vikrant
2010-Apr-28 03:42 UTC
[R] Finding the max correlation coefficient value using CCF function
Hi All,
Suppose I have 2 time series
a = 1:20
b = 5:15
and I am finding the cross correlation between these two time series using
CCF function.
c = ccf(a,b)
print(c)
Autocorrelations of series ?X?, by lag
-7 -6 -5 -4 -3 -2 -1 0 1 2 3
4 5 6 7
-0.358 -0.255 -0.110 0.070 0.278 0.507 0.750 1.000 0.750 0.507 0.278
0.070 -0.110 -0.255 -0.358
it will give me the correlation coefficient (r) with corrsponding lags.
My Question is how to find the value of maximum correlation coefficient
with the corrsponding lag.
here in this case its r = 0.75 with lag = 0
how to get this valus in a vector or variable?
--
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Nikhil Kaza
2010-Apr-28 12:11 UTC
[R] Finding the max correlation coefficient value using CCF function
try this ?which.max Nikhil Kaza Asst. Professor, City and Regional Planning University of North Carolina nikhil.list at gmail.com On Apr 27, 2010, at 11:42 PM, vikrant wrote:> > Hi All, > Suppose I have 2 time series > a = 1:20 > b = 5:15 > > and I am finding the cross correlation between these two time series > using > CCF function. > > c = ccf(a,b) > print(c) > > Autocorrelations of series ?X?, by lag > > -7 -6 -5 -4 -3 -2 -1 0 1 > 2 3 > 4 5 6 7 > -0.358 -0.255 -0.110 0.070 0.278 0.507 0.750 1.000 0.750 > 0.507 0.278 > 0.070 -0.110 -0.255 -0.358 > > it will give me the correlation coefficient (r) with corrsponding > lags. > My Question is how to find the value of maximum correlation > coefficient > with the corrsponding lag. > here in this case its r = 0.75 with lag = 0 > > how to get this valus in a vector or variable? > > > > -- > View this message in context: http://r.789695.n4.nabble.com/Finding-the-max-correlation-coefficient-value-using-CCF-function-tp2068580p2068580.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.