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(119.5,125,145,105.3,116.9,120.1,88.9,78.4,114.6,113.3,117,99.6,99.4,101.9,115.2,108.5,113.8,121,92.2,90.2,101.5,126.6,93.9,89.8,93.4,101.5,110.4,105.9,108.4,113.9,86.1,69.4,101.2,100.5,98,106.6,90.1,96.9,125.9,112,100,123.9,79.8,83.4,113.6,112.9,104,109.9,99,106.3,128.9,111.1,102.9,130,87,87.5,117.6,103.4,110.8,112.6,102.5,112.4,135.6,105.1,127.7,137,91,90.5,122.4,123.3,124.3,120,118.1,119,142.7,123.6,129.6,151.6,110.4,99.2,130.5,136.2,129.7,128) > x <- c(103.1,100.6,103.1,95.5,90.5,90.9,88.8,90.7,94.3,104.6,111.1,110.8,107.2,99,99,91,96.2,96.9,96.2,100.1,99,115.4,106.9,107.1,99.3,99.2,108.3,105.6,99.5,107.4,93.1,88.1,110.7,113.1,99.6,93.6,98.6,99.6,114.3,107.8,101.2,112.5,100.5,93.9,116.2,112,106.4,95.7,96,95.8,103,102.2,98.4,111.4,86.6,91.3,107.9,101.8,104.4,93.4,100.1,98.5,112.9,101.4,107.1,110.8,90.3,95.5,111.4,113,107.5,95.9,106.3,105.2,117.2,106.9,108.2,113,97.2,99.9,108.1,118.1,109.1,93.3) > par7 = '1' > par6 = '0' > par5 = '0.3' > par4 = '12' > par3 = '1' > par2 = '0' > par1 = '0.8' > #'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] 1.61595255 -0.63722821 -1.62885994 -1.81674035 2.30074342 2.41900001 [7] 2.99247949 3.77798628 1.88394300 4.21878231 -1.64350277 -1.44797574 [13] -3.12517626 0.07976554 3.67624184 5.83361995 1.31949186 4.16281923 [19] -1.24779209 -4.83653175 4.61451762 -0.89157597 -2.88779637 -5.37166611 [25] -0.27926409 0.15943468 2.33810947 0.86455304 0.67631138 1.99223458 [31] 2.96539152 2.35308363 2.13506941 -0.42768498 2.69128942 0.84527361 [37] -1.04076788 -1.51988684 -4.42506359 -2.20781421 -1.11515527 -0.42814245 [43] -5.60921514 -1.05112551 -3.23012672 -4.00722935 -0.78788610 -0.92597252 [49] 1.63870935 1.08113159 3.88174692 -0.31735161 3.44503819 -0.23388834 [55] 1.50962736 1.69507414 1.36795163 4.39606837 1.21995896 1.00628017 [61] 2.45285248 2.65767210 1.66455135 2.17191562 0.43150947 0.85636388 [67] 2.78277678 1.75987805 -1.28954636 1.97253468 0.62689563 -1.04664259 > y [1] -0.75244321 -0.84361699 -0.98936815 0.12158637 -0.11167731 0.03143596 [7] 0.14083825 0.52993848 -0.49436868 0.46646228 -0.88821423 -0.40551969 [13] -0.24512115 -0.01573750 -0.17565636 -0.09859381 -0.19973069 -0.25260384 [19] -0.26323629 -0.97304818 -0.01183164 -0.95313248 0.16803188 0.67836487 [25] -0.13954605 -0.18418149 0.54954004 0.22873799 -0.32502137 0.35279720 [31] -0.28595215 0.67404394 0.46990073 0.47206066 0.23724786 0.12428949 [37] 0.36865311 0.37024290 0.10081255 -0.03319061 0.11429814 0.20551176 [43] 0.32559436 0.18223634 0.14388492 -0.35815525 0.25756822 0.09976230 [49] 0.13861892 0.22815170 0.21935781 -0.22622449 0.89571955 0.22767764 [55] 0.17279473 0.12959037 0.16820884 0.72681484 0.48024441 0.26510208 [61] 0.58043467 0.23729068 0.22432423 0.67138482 0.06341200 0.44987006 [67] 0.76998684 0.35956254 0.27367191 0.42818122 0.18187378 0.27402140 > postscript(file="/var/www/html/rcomp/tmp/17zp31228248696.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 -0.176 -0.159 -0.191 -0.140 -0.018 -0.197 0.171 0.026 0.067 0.084 0.003 -4 -3 -2 -1 0 1 2 3 4 5 6 -0.241 0.078 0.117 -0.027 0.277 0.070 0.172 0.058 -0.029 -0.200 -0.100 7 8 9 10 11 12 13 14 15 -0.176 0.096 0.006 -0.026 0.048 -0.064 -0.155 -0.098 -0.149 > 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/2mav61228248696.tab") > > system("convert tmp/17zp31228248696.ps tmp/17zp31228248696.png") > > > proc.time() user system elapsed 0.397 0.167 0.456