R version 2.7.0 (2008-04-22) 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(119.5,125,145,105.3,116.9,120.1,88.9,78.4,114.6,113.3,117,99.6,99.4,101.9,115.2,108.5,113.8,121,92.2,90.2,101.5,126.6,93.9,89.8,93.4,101.5,110.4,105.9,108.4,113.9,86.1,69.4,101.2,100.5,98,106.6,90.1,96.9,125.9,112,100,123.9,79.8,83.4,113.6,112.9,104,109.9,99,106.3,128.9,111.1,102.9,130,87,87.5,117.6,103.4,110.8,112.6,102.5,112.4,135.6,105.1,127.7,137,91,90.5,122.4,123.3,124.3,120,118.1,119,142.7,123.6,129.6,151.6,110.4,99.2,130.5,136.2,129.7,128,121.6,135.8,143.8,147.5,136.2,156.6,123.3,104.5,143.6) > x <- c(101.4,100.7,111.7,96.9,101.9,107.2,86.7,92.7,101.4,107.1,100.8,91,96.3,96.7,106.7,104.8,103,105.7,92.4,91,107.7,112,102.1,94.8,99.4,98.7,106.2,103.9,99.5,105.3,93.9,88.3,109.3,112.1,100.3,101.5,96.5,98.8,115.9,106.5,100.7,114.6,97.2,96.8,117.2,112.6,107,106.6,98.9,98.8,110.3,104.4,100.7,117.7,89.1,94.9,112.4,104.9,109.3,104.3,102.3,103.2,118.8,102.6,112.2,116.6,93.6,100,116.4,118.9,114.5,106.2,109.8,107.3,121.9,108.8,111.8,119.8,102.5,103.4,114.4,124.1,115.6,105.2,114.1,115.3,115.8,119.9,112.1,119.7,106.2,101.5,119.3) > par7 = '0' > par6 = '0' > par5 = '1' > par4 = '12' > par3 = '0' > par2 = '0' > 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] 100.4 99.7 110.7 95.9 100.9 106.2 85.7 91.7 100.4 106.1 99.8 90.0 [13] 95.3 95.7 105.7 103.8 102.0 104.7 91.4 90.0 106.7 111.0 101.1 93.8 [25] 98.4 97.7 105.2 102.9 98.5 104.3 92.9 87.3 108.3 111.1 99.3 100.5 [37] 95.5 97.8 114.9 105.5 99.7 113.6 96.2 95.8 116.2 111.6 106.0 105.6 [49] 97.9 97.8 109.3 103.4 99.7 116.7 88.1 93.9 111.4 103.9 108.3 103.3 [61] 101.3 102.2 117.8 101.6 111.2 115.6 92.6 99.0 115.4 117.9 113.5 105.2 [73] 108.8 106.3 120.9 107.8 110.8 118.8 101.5 102.4 113.4 123.1 114.6 104.2 [85] 113.1 114.3 114.8 118.9 111.1 118.7 105.2 100.5 118.3 > y [1] 118.5 124.0 144.0 104.3 115.9 119.1 87.9 77.4 113.6 112.3 116.0 98.6 [13] 98.4 100.9 114.2 107.5 112.8 120.0 91.2 89.2 100.5 125.6 92.9 88.8 [25] 92.4 100.5 109.4 104.9 107.4 112.9 85.1 68.4 100.2 99.5 97.0 105.6 [37] 89.1 95.9 124.9 111.0 99.0 122.9 78.8 82.4 112.6 111.9 103.0 108.9 [49] 98.0 105.3 127.9 110.1 101.9 129.0 86.0 86.5 116.6 102.4 109.8 111.6 [61] 101.5 111.4 134.6 104.1 126.7 136.0 90.0 89.5 121.4 122.3 123.3 119.0 [73] 117.1 118.0 141.7 122.6 128.6 150.6 109.4 98.2 129.5 135.2 128.7 127.0 [85] 120.6 134.8 142.8 146.5 135.2 155.6 122.3 103.5 142.6 > postscript(file="/var/www/html/rcomp/tmp/1gtwi1228262130.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 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 0.095 0.263 0.064 0.259 0.673 0.219 -0.061 0.260 0.274 0.296 0.507 -5 -4 -3 -2 -1 0 1 2 3 4 5 0.309 0.175 0.366 0.130 0.337 0.856 0.200 -0.055 0.287 0.205 0.234 6 7 8 9 10 11 12 13 14 15 16 0.369 0.176 0.062 0.135 -0.051 0.152 0.531 0.045 -0.171 0.092 0.025 > 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/20jrw1228262130.tab") > > system("convert tmp/1gtwi1228262130.ps tmp/1gtwi1228262130.png") > > > proc.time() user system elapsed 1.182 0.286 1.234