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(17,22,29,26,29,42,40,34,46,43,44,40,41,42,35,40,43,47,41,44,38,35,34,31,25,35,36,41,41,38,39,45,46,48,48,48,45,44,45,45,45,42,43,50,46,46,45,49,46,45,49,47,45,48,51,48,49,51,54,52,52,53,51,55,53,51,52,54,58,57,52,50,53,50,50,51,53,49,54,57,58,56,60,55,54,52,55,56,54,53,59,62,63,64,75,77,79,77,82,83,81,78,79,79,73,72) > x <- c(-3,-2,0,1,11,14,14,16,14,10,15,18,18,12,8,2,-2,-1,1,-6,-16,-21,-38,-32,-22,-31,-22,-26,-19,-20,-24,-29,-28,-31,-30,-32,-38,-43,-51,-43,-43,-42,-47,-45,-38,-46,-38,-32,-27,-26,-21,-23,-24,-17,-23,-16,-22,-26,-25,-21,-21,-18,-12,-19,-31,-38,-38,-32,-43,-33,-28,-25,-19,-20,-21,-19,-17,-16,-10,-16,-10,-8,-7,-15,-7,-6,-6,2,-4,-4,-8,-10,-16,-14,-30,-33,-40,-38,-39,-46,-50,-55,-66,-63,-56,-66) > 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] -4 -3 -1 0 10 13 13 15 13 9 14 17 17 11 7 1 -3 -2 [19] 0 -7 -17 -22 -39 -33 -23 -32 -23 -27 -20 -21 -25 -30 -29 -32 -31 -33 [37] -39 -44 -52 -44 -44 -43 -48 -46 -39 -47 -39 -33 -28 -27 -22 -24 -25 -18 [55] -24 -17 -23 -27 -26 -22 -22 -19 -13 -20 -32 -39 -39 -33 -44 -34 -29 -26 [73] -20 -21 -22 -20 -18 -17 -11 -17 -11 -9 -8 -16 -8 -7 -7 1 -5 -5 [91] -9 -11 -17 -15 -31 -34 -41 -39 -40 -47 -51 -56 -67 -64 -57 -67 > y [1] 16 21 28 25 28 41 39 33 45 42 43 39 40 41 34 39 42 46 40 43 37 34 33 30 24 [26] 34 35 40 40 37 38 44 45 47 47 47 44 43 44 44 44 41 42 49 45 45 44 48 45 44 [51] 48 46 44 47 50 47 48 50 53 51 51 52 50 54 52 50 51 53 57 56 51 49 52 49 49 [76] 50 52 48 53 56 57 55 59 54 53 51 54 55 53 52 58 61 62 63 74 76 78 76 81 82 [101] 80 77 78 78 72 71 > postscript(file="/var/www/html/rcomp/tmp/10h061228763172.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 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -0.088 -0.076 -0.064 -0.060 -0.060 -0.060 -0.066 -0.066 -0.078 -0.090 -0.113 -6 -5 -4 -3 -2 -1 0 1 2 3 4 -0.144 -0.182 -0.232 -0.294 -0.351 -0.407 -0.486 -0.491 -0.501 -0.504 -0.500 5 6 7 8 9 10 11 12 13 14 15 -0.475 -0.434 -0.387 -0.327 -0.275 -0.234 -0.178 -0.113 -0.059 -0.025 0.019 16 17 0.053 0.067 > 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/28bkt1228763172.tab") > > system("convert tmp/10h061228763172.ps tmp/10h061228763172.png") > > > proc.time() user system elapsed 1.961 0.493 2.031