R version 2.8.0 (2008-10-20) Copyright (C) 2008 The R Foundation for Statistical Computing ISBN 3-900051-07-0 R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details. R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications. Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R. > y <- c(-7,-13,-11,-9,8,24,4,7,16,-30,26,19,2,-12,-29,-24,-16,25,22,-7,17,-29,18,15,1,6,-21,-23,-15,24,15,15,14,-25,14,21,13,4,-16,13,20,27,-8,13,12,-25,20,22,16,-12,-13,7,12,-8,12,-13,12,-25,0,18) > x <- c(8,-10,-24,-19,8,24,14,7,9,-26,19,15,-1,-10,-21,-14,-27,26,23,5,19,-19,24,17,1,-9,-16,-21,-14,31,27,10,12,-23,13,26,-1,4,-16,-5,9,23,9,2,10,-29,17,9,9,-10,-23,13,13,-9,9,5,8,-18,7,4) > par7 = '1' > par6 = '1' > par5 = '1' > par4 = '12' > par3 = '0' > 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] -18 -14 5 27 16 -10 -7 2 -35 45 -4 -16 -9 -11 7 -13 53 -3 -18 [20] 14 -38 43 -7 -16 -10 -7 -5 7 45 -4 -17 2 -35 36 13 -27 5 -20 [39] 11 14 14 -14 -7 8 -39 46 -8 0 -19 -13 36 0 -22 18 -4 3 -26 [58] 25 -3 > y [1] -8 -19 3 -9 25 17 -32 15 0 -9 4 3 19 -10 -7 0 -2 -6 29 [20] -25 7 -8 10 6 -14 7 31 -1 -32 -26 21 0 2 6 -5 2 -19 19 [39] -9 -2 -27 55 -46 26 0 -20 16 > postscript(file="/var/www/html/rcomp/tmp/1yr091228234020.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 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 0.131 -0.191 -0.069 0.090 0.049 0.040 -0.038 -0.084 0.074 0.036 -0.068 -2 -1 0 1 2 3 4 5 6 7 8 0.009 0.197 -0.287 0.036 0.182 -0.227 0.185 -0.075 -0.001 0.006 0.051 9 10 11 12 13 -0.044 -0.024 -0.005 0.045 0.023 > 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/2ax911228234020.tab") > > system("convert tmp/1yr091228234020.ps tmp/1yr091228234020.png") > > > proc.time() user system elapsed 0.377 0.173 0.454