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Type 'q()' to quit R. > y <- c(101.73,101.63,101.43,101.34,101.01,100.89,100.93,100.77,100.3,99.86,99.71,99.93,99.88,99.92,99.87,99.63,100.05,99.88,100.11,100.05,100.07,100.2,100.21,99.76,99.41,99.24,99.65,99.7,99.79,99.84,101,101.62,101.98,101.46,102.28,102.14,102.02,102.21,101.61,102.38,102.19,102.04,101.76,101.9,102.01,102.37,103.04,103.42,103.76,104.41,104.75,104.28,103.89,104.09,103.8,105.03,105.86,106.04,106.03,106.13,107.21,107.66,108.08,108.76,108.26,108.71,108.65,108.61,108.86,109.54,108.22,108.77,109.9,110.13,109.6,110.42,110.6,109.73,110.72,111.08,111.14,111.01,110.56,111.57) > x <- c(101.02,100.67,100.47,100.38,100.33,100.34,100.37,100.39,100.21,100.21,100.22,100.28,100.25,100.25,100.21,100.16,100.18,100.1,99.96,99.88,99.88,99.86,99.84,99.8,99.82,99.81,99.92,100.03,99.99,100.02,100.01,100.13,100.33,100.13,99.96,100.05,99.83,99.8,100.01,100.1,100.13,100.16,100.41,101.34,101.65,101.85,102.07,102.12,102.14,102.21,102.28,102.19,102.33,102.54,102.44,102.78,102.9,103.08,102.77,102.65,102.71,103.29,102.86,103.45,103.72,103.65,103.83,104.45,105.14,105.07,105.31,105.19,105.3,105.02,105.17,105.28,105.45,105.38,105.8,105.96,105.08,105.11,105.61,105.5) > 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] 100.02 99.67 99.47 99.38 99.33 99.34 99.37 99.39 99.21 99.21 [11] 99.22 99.28 99.25 99.25 99.21 99.16 99.18 99.10 98.96 98.88 [21] 98.88 98.86 98.84 98.80 98.82 98.81 98.92 99.03 98.99 99.02 [31] 99.01 99.13 99.33 99.13 98.96 99.05 98.83 98.80 99.01 99.10 [41] 99.13 99.16 99.41 100.34 100.65 100.85 101.07 101.12 101.14 101.21 [51] 101.28 101.19 101.33 101.54 101.44 101.78 101.90 102.08 101.77 101.65 [61] 101.71 102.29 101.86 102.45 102.72 102.65 102.83 103.45 104.14 104.07 [71] 104.31 104.19 104.30 104.02 104.17 104.28 104.45 104.38 104.80 104.96 [81] 104.08 104.11 104.61 104.50 > y [1] 100.73 100.63 100.43 100.34 100.01 99.89 99.93 99.77 99.30 98.86 [11] 98.71 98.93 98.88 98.92 98.87 98.63 99.05 98.88 99.11 99.05 [21] 99.07 99.20 99.21 98.76 98.41 98.24 98.65 98.70 98.79 98.84 [31] 100.00 100.62 100.98 100.46 101.28 101.14 101.02 101.21 100.61 101.38 [41] 101.19 101.04 100.76 100.90 101.01 101.37 102.04 102.42 102.76 103.41 [51] 103.75 103.28 102.89 103.09 102.80 104.03 104.86 105.04 105.03 105.13 [61] 106.21 106.66 107.08 107.76 107.26 107.71 107.65 107.61 107.86 108.54 [71] 107.22 107.77 108.90 109.13 108.60 109.42 109.60 108.73 109.72 110.08 [81] 110.14 110.01 109.56 110.57 > postscript(file="/var/www/html/freestat/rcomp/tmp/172p01229263262.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 -5 -4 0.393 0.440 0.484 0.530 0.575 0.617 0.653 0.692 0.732 0.768 0.804 0.842 0.878 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 0.900 0.922 0.947 0.968 0.943 0.920 0.897 0.870 0.842 0.816 0.792 0.760 0.728 10 11 12 13 14 15 16 0.699 0.663 0.627 0.596 0.563 0.521 0.482 > dev.off() null device 1 > > #Note: the /var/www/html/freestat/rcomp/createtable file can be downloaded at http://www.wessa.net/cretab > load(file="/var/www/html/freestat/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/freestat/rcomp/tmp/2e5b91229263263.tab") > > system("convert tmp/172p01229263262.ps tmp/172p01229263262.png") > > > proc.time() user system elapsed 0.555 0.229 1.227