similar to: ccf problem (cross-correlation)

I am new to R and new to time series modeling. I have a set of variables (var1, var2, var3, var4, var5) for which I have historical yearly data. I am trying to use this data to produce a prediction of var1, 3 years into the future. I have a few basic questions: 1) I am able to read in my data, and convert it to a time series format using 'ts.' data_ts <- ts(data, start = 1988, end =

Hi, I am using ccf but I could not figure out how to calculate the actual lag in number of periods from the returned results. The documentation for ccf says:"The lag is returned and plotted in units of time". What does "units of time" mean? For example: > x=ldeaths > x1=lag(ldeaths,1) > results=ccf(x,x1) > results Autocorrelations of series 'X', by lag

Hi. It's my understanding that a cross-correlation function of vectors x and y at lag zero is equivalent to their correlation (or covariance, depending on how the ccf is defined). If this is true, could somebody please explain why I get an inconsistent result between cov() and ccf(type = "covariance"), but a consistent result between cor() and ccf(type = "correlation")? Or

Hi all, I am getting different results from ccf and cor, Here is a simple example: set.seed(100) N <- 100 x1 <- sample(N) x2 <- x1 + rnorm(N,0,5) ccf(x1,x2)$acf[ccf(x1,x2)$lag == -1] cor(x1[-N], x2[-1]) Results: > ccf(x1,x2)$acf[ccf(x1,x2)$lag == -1] [1] -0.128027 > cor(x1[-N], x2[-1]) [1] -0.1301427 Thanks, Tal ----------------Contact

hello, i have been using ccf() to look at the correlation between lightning and electrogamnetic data. for the most part it has worked exactly as expected. however, i have come across something that puzzles me a bit: > x <- c(1, 0, 1, 0, 1, 0) > y <- c(0, 0, 0, 0, 0, 0) > ccf(x, x, plot = FALSE) Autocorrelations of series 'X', by lag -4 -3 -2 -1 0

Dear R-users, I have been using R and its core-packages with great satisfaction now for many years, and have recently started using the "ccf" function (part of the "stats" package version 2.16.0), about which I have a question. The "ccf"-algorithm for calculating the cross-correlation between two time series always calculates the mean and standard deviation per time

Dear all, I have two series of returns and I want to find the cross-correlations between these two series. I know of the ccf, but it does not work as I'd like if i type ccf(x,y,lag.max=20,type="correlation",plot=FALSE) i got the error message Error in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : missing values in object So i found that somebody suggested to type

On 11/28/2006 11:50 AM, A.I. McLeod wrote: > Hi Duncan, Hi Ian. > > ccf(x,y) does not explain whether c(k)=cov(x(t),x(t+k)) or d(k)=cov(x(t),x(t-k)) is calculated. The following example demonstrates > that the c(k) definition is used: > ccf(c(-1,1,rep(0,8)),c(1,rep(0,9))) > However S-Plus acf uses the d(k) definition in their acf function. I don't think our code looks

Hi, I have missing values in my time series. "na.action = na.pass" works for acf and pacf. Why do I get the following error for the ccf? > ts(matrix(c(dev$u[1:10],dev$q[1:10]),ncol=2),start=1,freq=1) Time Series: Start = 1 End = 10 Frequency = 1 Series 1 Series 2 1 68.00000 138.4615 2 70.00000 355.5556 3 68.76000 304.3200 4 68.00000 231.4286 5 69.74194 357.4963 6

I am trying to run a cross-correlation using the "ccf()" function. When I select plot = TRUE in the ccf() I get a graph which has ACF on the y-axis, which would suggest that these y-values are the auto-correlation values. How should I adjust the code to produce a plot that provides the cross-correlation values? Here is my code: w002dat <-

Hi everyone, When the CCF between two series of observations is plotted in R, a line indicating (presumably) the significance threshold appears across the plot. Does anyone know how this threshold is determined (it is different for each set of series) and how its value can be extracted from R? I've tried saving the CCF into an object and unclassing the object, but there's nothing there to

Hi all, I have two time series that I would like to correlate but as they are autocorrelated, I am "pre-whitening" them first by fitting ARIMA models, then correlating their residuals....as described in https://onlinecourses.science.psu.edu/stat510/?q=node/75 However, http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm discusses some issues with ARIMA in R. In particular, for issue 2, if

Dear All, I am studying some process measurement time series in R and trying to identify time delays using cross-correlation function ccf. The results have however been bit confusing. I found a couple of years old message about this issue but unfortunately wasn't able to find it again for a reference. For example, an obvious time shift is observed between the measurements y1 and y2 when the

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

Dear all, given two numeric vectors x and y, the ACF(x) at lag k is cor(x(t),x(t+k)) while the CCF(x,y) at lag k is cor(x(t),y(t-k)). See below for a simple example. > set.seed(1) > x <- rnorm(10) > y <- rnorm(10) > x [1] -0.6264538 0.1836433 -0.8356286 1.5952808 0.3295078 -0.8204684 0.4874291 0.7383247 0.5757814 -0.3053884 > y [1] 1.51178117 0.38984324

im using R 1.5.0 on redhat. when i use ccf in the ts library i get, what i think is, an incorrect entry in the lag and acf components. as an example, look at the second entry in the lag and acf components below: > library(ts) > tmp <- ccf(ts(rnorm(3)),ts(rnorm(3)),plot=F) > tmp$lag , , 1 [,1] [1,] -1 [2,] 0 [3,] 0 [4,] 1 > tmp$acf , , 1 [,1] [1,]

I can't understand the results from cross-correlation function ccf() even though it should be simple. Here's my short example: ********* a<-rnorm(5);b<-rnorm(5) a;b [1] 1.4429135 0.8470067 1.2263730 -1.8159190 -0.6997260 [1] -0.4227674 0.8602645 -0.6810602 -1.4858726 -0.7008563 cc<-ccf(a,b,lag.max=4,type="correlation") cc Autocorrelations of series 'X',

Hi everyone, I have been working with the ccf function recently, and in particular to do my calculations I have been using "na.action = na.pass". I noticed that the help documentation mentions that with this option the computed estimate may not be a valid autocorrelation sequence and was wondering if anyone could clarify what this means. In particular, the example below gives

Dear All, I have 2 time-series data sets and would like to check the cross correlation. These data sets were set as a zoo object, called data, and in general look like: V1 V2 2007-01-01 00:00:00 0.0 0.176083 2007-01-01 01:00:00 0.0 0.176417 2007-01-01 02:00:00 0.0 0.175833 2007-01-01 03:00:00 0.0 0.175833 2007-01-01

Dear R gurus, I would like to use the ccf function on two matrices that are each 196000 x 12. Ideally, I want to be able to go row by row for the two matrices using apply for the ccf function and get one 196000 X 1 array output. The apply function though wants only one array, no? Basically, is there a way to use apply when there are two arrays in order to do something like correlation on a row