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 = '1' > par5 = '2.0' > 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] 1 2 1 10 3 0 2 -2 -4 5 3 0 -6 -4 -6 -4 1 2 [19] -7 -10 -5 -17 6 10 -9 9 -4 7 -1 -4 -5 1 -3 1 -2 -6 [37] -5 -8 8 0 1 -5 2 7 -8 8 6 5 1 5 -2 -1 7 -6 [55] 7 -6 -4 1 4 0 3 6 -7 -12 -7 0 6 -11 10 5 3 6 [73] -1 -1 2 2 1 6 -6 6 2 1 -8 8 1 0 8 -6 0 -4 [91] -2 -6 2 -16 -3 -7 2 -1 -7 -4 -5 -11 3 7 -10 > y [1] 97.5 178.5 -82.5 82.5 461.5 -82.0 -222.0 480.0 -133.5 43.5 [11] -168.0 40.5 41.5 -269.5 187.5 124.5 180.0 -264.0 127.5 -246.0 [21] -109.5 -34.5 -97.5 -168.0 300.0 35.5 192.5 0.0 -118.5 38.5 [31] 252.0 45.5 94.0 0.0 0.0 -139.5 -44.5 44.5 0.0 0.0 [41] -130.5 42.5 325.5 -192.0 0.0 -45.5 188.0 -142.5 -45.5 188.0 [51] -96.0 -92.0 139.5 148.5 -148.5 48.5 100.0 157.5 -106.0 0.0 [61] 52.5 -104.0 212.0 -108.0 -104.0 51.5 106.0 224.0 -57.5 -272.5 [71] -102.0 154.5 -154.5 0.0 50.5 104.0 -204.0 257.5 166.5 57.5 [81] -114.0 232.0 -287.5 -54.5 -106.0 160.5 55.5 -110.0 -53.5 336.0 [91] 181.5 62.5 63.5 764.5 152.0 156.0 -156.0 397.5 82.5 -164.0 [101] -238.5 78.5 0.0 -456.0 -72.5 > postscript(file="/var/www/html/rcomp/tmp/1lom41228766545.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 0.023 -0.050 0.013 0.057 0.037 -0.063 -0.074 0.116 0.079 0.021 0.097 -6 -5 -4 -3 -2 -1 0 1 2 3 4 0.077 0.024 -0.014 0.001 -0.006 0.095 -0.191 0.085 0.036 -0.080 -0.112 5 6 7 8 9 10 11 12 13 14 15 -0.054 -0.030 -0.136 -0.034 0.115 -0.097 -0.089 -0.052 0.148 -0.169 -0.009 16 17 0.047 -0.071 > 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/2cimh1228766545.tab") > > system("convert tmp/1lom41228766545.ps tmp/1lom41228766545.png") > > > proc.time() user system elapsed 1.190 0.285 1.237