Hi, I have been running the ccf() function to find cross-correlations of time series across various lags. When I give the option of plot=TRUE, I get a plot that gives me 95% confidence interval cut-offs (based on sample covariances) for my cross-correlations at each lag. This gives me a sense of whether my cross-correlations are statistically significant or not. However, I am unable to get R to return the value of these critical values to me in say, an object or vector form. Would anyone be able to help me extract the critical values (at 95%) from the ccf() function? Thanks very much in advance, Shruthi -- View this message in context: http://www.nabble.com/Confidence-intervals-in-ccf%28%29-tp21567646p21567646.html Sent from the R help mailing list archive at Nabble.com.
Shruthi Jayaram wrote:> Hi, > > I have been running the ccf() function to find cross-correlations of time > series across various lags. When I give the option of plot=TRUE, I get a > plot that gives me 95% confidence interval cut-offs (based on sample > covariances) for my cross-correlations at each lag. This gives me a sense of > whether my cross-correlations are statistically significant or not. > > However, I am unable to get R to return the value of these critical values > to me in say, an object or vector form. Would anyone be able to help me > extract the critical values (at 95%) from the ccf() function? > > Thanks very much in advance, > > ShruthiI don't know if you can get it directly, but you can look at the code in plot.acf using getAnywhere(plot.acf) to see how it's calculated. -- Gad Abraham Dept. CSSE and NICTA The University of Melbourne Parkville 3010, Victoria, Australia email: gabraham at csse.unimelb.edu.au web: http://www.csse.unimelb.edu.au/~gabraham
ccf passes its results to acf which than passes to plot.acf, an invisible function which can be made visible by the ":::" device: stats:::plot.acf plot.acf is where the CI get calculated and plotted. -- David Winsemius On Jan 20, 2009, at 12:25 PM, Shruthi Jayaram wrote:> > Hi, > > I have been running the ccf() function to find cross-correlations of > time > series across various lags. When I give the option of plot=TRUE, I > get a > plot that gives me 95% confidence interval cut-offs (based on sample > covariances) for my cross-correlations at each lag. This gives me a > sense of > whether my cross-correlations are statistically significant or not. > > However, I am unable to get R to return the value of these critical > values > to me in say, an object or vector form. Would anyone be able to help > me > extract the critical values (at 95%) from the ccf() function? > > Thanks very much in advance, > > Shruthi > -- > View this message in context: http://www.nabble.com/Confidence-intervals-in-ccf%28%29-tp21567646p21567646.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.