Hello,
I am a very new R user and not a statistician so please excuse any over
explanation, I'm just trying to be as clear as possible.
I have performed a cross correlation of two time series (my columns) in a single
data setusing:
ccf(ts(A[rows,columnX]),(A[rows,columnY]), lag=NULL,
type="correlation",plot=F)
I?am able to get the results (for example):
Autocorrelations of series ?X?, by lag
?? -14??? -13??? -12??? -11??? -10???? -9???? -8???? -7???? -6???? -5???? -4
-0.128 -0.126 -0.109 -0.087 -0.060 -0.035 -0.002? 0.027? 0.064? 0.106? 0.157
??? -3???? -2???? -1????? 0????? 1????? 2????? 3????? 4????? 5????? 6????? 7
?0.201? 0.255? 0.293? 0.314? 0.261? 0.196? 0.117? 0.029 -0.059 -0.131 -0.169
???? 8????? 9???? 10???? 11???? 12???? 13???? 14
-0.184 -0.277 -0.343 -0.368 -0.373 -0.358 -0.335 ??
My questions are these:
1)?When I set a NULL value to the lag.max, does that assume k-1 of time?? or if
I have, for example, 50 time frames do I have assert lag.max=49 (as?k-1)?
2) How do I read the results?? when I plot the above the first value that shows
significance is 0.293 at -1.?? Does that mean at that lag X leads Y? I am
specifically trying to resolve if X leads Y or not.
3) Lastly, is there a function that will pull out the first maximum/significant
value?? I tried which.max(x), max(x) and nothing seems to be working.
All ideas are appreciated.? I apologize for the simple questions.... but you
have to start somewhere!
Megan