sandeep jose joseph
2008-Mar-05 15:25 UTC
[R] Need help for calculating cross-correlation between 4 multivariate time series data
Hi all,
I would like to know whether there is any function in R were i can
find the cross-correlation of two or more multivariate (time series) data. I
tried the function ccf() but it seems like to have two univariate datasets.
Please let me know.
sincerely,
sandeep
--
Sandeep Joseph PhD
Post Doctoral Associate
Center for Tropical & Emerging Global Diseases
Paul D. Coverdell Center, Rm 335A
500 D. W. Brooks Drive
Athens, GA 30602-7394
ph 404-578-6790
2091 south Miledge Ave
Apt A6, Athens,
GA-30605.
phone: 706-850-0056
[[alternative HTML version deleted]]
David Stoffer
2008-Mar-05 20:16 UTC
[R] Need help for calculating cross-correlation between 4 multivariate time series data
You can use acf(), but it will be messy and the labeling of the plots is confusing and perhaps misleading... check out issue number 4 at http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm I would recommend setting up a grid of the ccfs and you could automate this (i.e., write a loop) if need be. sandeep jose joseph wrote:> > Hi all, > I would like to know whether there is any function in R were i > can > find the cross-correlation of two or more multivariate (time series) data. > I > tried the function ccf() but it seems like to have two univariate > datasets. > Please let me know. > sincerely, > sandeep > > -- > Sandeep Joseph PhD > Post Doctoral Associate > Center for Tropical & Emerging Global Diseases > Paul D. Coverdell Center, Rm 335A > 500 D. W. Brooks Drive > Athens, GA 30602-7394 > ph 404-578-6790 > > 2091 south Miledge Ave > Apt A6, Athens, > GA-30605. > phone: 706-850-0056 > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. > >----- The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw -- View this message in context: http://www.nabble.com/Need-help-for-calculating-cross-correlation-between-4-multivariate-time-series-data-tp15853171p15857688.html Sent from the R help mailing list archive at Nabble.com.