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Type 'q()' to quit R. > y <- c(103.68,103.64,103.37,104.3,104.15,104.09,104.21,104.27,104,103.36,104.2,104.12,103.79,104.65,103.84,103.98,103.83,104.34,103.76,103.57,103.06,103.06,102.6,103.41,103.15,103.33,103.96,104.91,104.23,103.68,104.16,104.49,104.23,104.21,103.74,103.96,104.02,104.15,103.74,103.23,103.69,103.46,102.14,102.39,102.19,102.02,102.64,103.52,103.32,103.65,104.25,101.74,102.08,101.35,102.79,102.21,101.78,101.25,101.8,103,104.17,104.08,105.24,104.72,104.77,104.39,104.14,105.15,105.07,104.54,106.03,107.24,108.2,109.15,110.1,109.48,109.96,110.13,110.53,110.82,110.06,110.05,109.49,109.95) > x <- c(101.02,100.67,100.47,100.38,100.33,100.34,100.37,100.39,100.21,100.21,100.22,100.28,100.25,100.25,100.21,100.16,100.18,100.1,99.96,99.88,99.88,99.86,99.84,99.8,99.82,99.81,99.92,100.03,99.99,100.02,100.01,100.13,100.33,100.13,99.96,100.05,99.83,99.8,100.01,100.1,100.13,100.16,100.41,101.34,101.65,101.85,102.07,102.12,102.14,102.21,102.28,102.19,102.33,102.54,102.44,102.78,102.9,103.08,102.77,102.65,102.71,103.29,102.86,103.45,103.72,103.65,103.83,104.45,105.14,105.07,105.31,105.19,105.3,105.02,105.17,105.28,105.45,105.38,105.8,105.96,105.08,105.11,105.61,105.5) > par7 = '1' > par6 = '1' > par5 = '1' > par4 = '12' > par3 = '1' > par2 = '1' > par1 = '1' > #'GNU S' R Code compiled by R2WASP v. 1.0.44 () > #Author: Prof. Dr. P. Wessa > #To cite this work: Wessa P., (2008), Cross Correlation Function (v1.0.6) in Free Statistics Software (v$_version), Office for Research Development and Education, URL http://www.wessa.net/rwasp_cross.wasp/ > #Source of accompanying publication: Office for Research, Development, and Education > #Technical description: > par1 <- as.numeric(par1) > par2 <- as.numeric(par2) > par3 <- as.numeric(par3) > par4 <- as.numeric(par4) > par5 <- as.numeric(par5) > par6 <- as.numeric(par6) > par7 <- as.numeric(par7) > if (par1 == 0) { + x <- log(x) + } else { + x <- (x ^ par1 - 1) / par1 + } > if (par5 == 0) { + y <- log(y) + } else { + y <- (y ^ par5 - 1) / par5 + } > if (par2 > 0) x <- diff(x,lag=1,difference=par2) > if (par6 > 0) y <- diff(y,lag=1,difference=par6) > if (par3 > 0) x <- diff(x,lag=par4,difference=par3) > if (par7 > 0) y <- diff(y,lag=par4,difference=par7) > x [1] 3.500000e-01 1.600000e-01 4.000000e-02 7.000000e-02 -9.000000e-02 [6] -1.700000e-01 -1.000000e-01 1.800000e-01 -2.000000e-02 -3.000000e-02 [11] -1.000000e-01 5.000000e-02 -1.000000e-02 1.500000e-01 1.600000e-01 [16] -6.000000e-02 1.100000e-01 1.300000e-01 2.000000e-01 2.000000e-01 [21] -1.800000e-01 -1.500000e-01 1.300000e-01 -2.400000e-01 -2.000000e-02 [26] 1.000000e-01 -2.000000e-02 7.000000e-02 0.000000e+00 2.600000e-01 [31] 8.100000e-01 1.100000e-01 4.000000e-01 3.900000e-01 -4.000000e-02 [36] 2.400000e-01 1.000000e-01 -1.400000e-01 -1.800000e-01 1.100000e-01 [41] 1.800000e-01 -3.500000e-01 -5.900000e-01 -1.900000e-01 -2.000000e-02 [46] -5.300000e-01 -1.700000e-01 4.000000e-02 5.100000e-01 -5.000000e-01 [51] 6.800000e-01 1.300000e-01 -2.800000e-01 2.800000e-01 2.800000e-01 [56] 5.700000e-01 -2.500000e-01 5.500000e-01 -1.421085e-14 5.000000e-02 [61] -8.600000e-01 5.800000e-01 -4.800000e-01 -1.000000e-01 -1.421085e-14 [66] 2.400000e-01 -4.600000e-01 -1.570000e+00 1.000000e-01 2.600000e-01 [71] 1.000000e-02 > y [1] 9.000000e-01 -5.400000e-01 -7.900000e-01 -1.421085e-14 5.700000e-01 [6] -7.000000e-01 -2.500000e-01 -2.400000e-01 6.400000e-01 -1.300000e+00 [11] 8.900000e-01 7.000000e-02 -6.800000e-01 1.440000e+00 8.100000e-01 [16] -5.300000e-01 -1.060000e+00 1.060000e+00 5.200000e-01 2.500000e-01 [21] -2.000000e-02 -1.000000e-02 -5.900000e-01 3.200000e-01 -5.000000e-02 [26] -1.040000e+00 -1.460000e+00 1.140000e+00 3.200000e-01 -1.800000e+00 [31] -8.000000e-02 6.000000e-02 -1.500000e-01 1.090000e+00 6.600000e-01 [36] -2.600000e-01 2.000000e-01 1.010000e+00 -2.000000e+00 -1.200000e-01 [41] -5.000000e-01 2.760000e+00 -8.300000e-01 -2.300000e-01 -3.600000e-01 [46] -7.000000e-02 3.200000e-01 1.370000e+00 -4.200000e-01 5.600000e-01 [51] 1.990000e+00 -2.900000e-01 3.500000e-01 -1.690000e+00 1.590000e+00 [56] 3.500000e-01 1.421085e-14 9.400000e-01 1.000000e-02 -2.100000e-01 [61] 1.040000e+00 -2.100000e-01 -1.000000e-01 4.300000e-01 5.500000e-01 [66] 6.500000e-01 -7.200000e-01 -6.800000e-01 5.200000e-01 -2.050000e+00 [71] -7.500000e-01 > postscript(file="/var/www/html/rcomp/tmp/1n6f31228233824.ps",horizontal=F,pagecentre=F,paper="special",width=8.3333333333333,height=5.5555555555556) > (r <- ccf(x,y,main='Cross Correlation Function',ylab='CCF',xlab='Lag (k)')) Autocorrelations of series 'X', by lag -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -0.008 0.008 -0.102 -0.140 0.073 0.079 -0.023 -0.156 0.103 0.074 -0.180 -4 -3 -2 -1 0 1 2 3 4 5 6 0.073 0.081 0.170 0.031 0.069 0.065 -0.209 0.092 -0.109 0.011 -0.130 7 8 9 10 11 12 13 14 15 0.148 -0.149 0.066 -0.237 0.037 -0.070 -0.092 0.247 -0.111 > dev.off() null device 1 > > #Note: the /var/www/html/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/rcomp/createtable") > > a<-table.start() > a<-table.row.start(a) > a<-table.element(a,'Cross Correlation Function',2,TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Parameter',header=TRUE) > a<-table.element(a,'Value',header=TRUE) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Box-Cox transformation parameter (lambda) of X series',header=TRUE) > a<-table.element(a,par1) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of non-seasonal differencing (d) of X series',header=TRUE) > a<-table.element(a,par2) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of seasonal differencing (D) of X series',header=TRUE) > a<-table.element(a,par3) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Seasonal Period (s)',header=TRUE) > a<-table.element(a,par4) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Box-Cox transformation parameter (lambda) of Y series',header=TRUE) > a<-table.element(a,par5) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of non-seasonal differencing (d) of Y series',header=TRUE) > a<-table.element(a,par6) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'Degree of seasonal differencing (D) of Y series',header=TRUE) > a<-table.element(a,par7) > a<-table.row.end(a) > a<-table.row.start(a) > a<-table.element(a,'k',header=TRUE) > a<-table.element(a,'rho(Y[t],X[t+k])',header=TRUE) > a<-table.row.end(a) > mylength <- length(r$acf) > myhalf <- floor((mylength-1)/2) > for (i in 1:mylength) { + a<-table.row.start(a) + a<-table.element(a,i-myhalf-1,header=TRUE) + a<-table.element(a,r$acf[i]) + a<-table.row.end(a) + } > a<-table.end(a) > table.save(a,file="/var/www/html/rcomp/tmp/2dsp01228233824.tab") > > system("convert tmp/1n6f31228233824.ps tmp/1n6f31228233824.png") > > > proc.time() user system elapsed 0.396 0.173 0.495