| CCF 3 | *The author of this computation has been verified* | R Software Module: /rwasp_cross.wasp (opens new window with default values) | Title produced by software: Cross Correlation Function | Date of computation: Tue, 14 Dec 2010 17:53:52 +0000 | | Cite this page as follows: | Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/14/t12923491083zfefmvb6qpzvt0.htm/, Retrieved Tue, 14 Dec 2010 18:51:48 +0100 | | BibTeX entries for LaTeX users: | @Manual{KEY,
author = {{YOUR NAME}},
publisher = {Office for Research Development and Education},
title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Dec/14/t12923491083zfefmvb6qpzvt0.htm/},
year = {2010},
}
@Manual{R,
title = {R: A Language and Environment for Statistical Computing},
author = {{R Development Core Team}},
organization = {R Foundation for Statistical Computing},
address = {Vienna, Austria},
year = {2010},
note = {{ISBN} 3-900051-07-0},
url = {http://www.R-project.org},
}
| | Original text written by user: | | | IsPrivate? | No (this computation is public) | | User-defined keywords: | | | Dataseries X: | » Textbox « » Textfile « » CSV « | 1606
1634
2013
1654
1003
1029
1052
1653
1918
1926
1862
1816
1712
1646
1555
1402
1047
891
940
1372
2012
1879
1667
1856
1771
1721
1773
1507
1033
1011
1111
1736
1865
2078
1947
1428
1500
1950
1591
1613
1077
880
1128
1320
1692
1575
1478
1500
1368
1563
1424
1274
1047
1049
1069
981
1540
1559
1459
1559
| | Dataseries Y: | » Textbox « » Textfile « » CSV « | 16
29
22
30
20
39
18
9,6
10,2
20,2
50
120
19,8
18
3
11
15
27
28
14
5,6
6,5
8,5
87,9
5,8
25,2
7,5
13,7
34
17
9
9,2
5
24
40
86,5
0,54
14
4,8
28
16
5,8
16
9,1
6
17
26
99,6
41
72
23
42
40
18
45
18
2
10
13,6
160
| | Output produced by software: |
Cross Correlation Function | Parameter | Value | Box-Cox transformation parameter (lambda) of X series | 0 | Degree of non-seasonal differencing (d) of X series | 0 | Degree of seasonal differencing (D) of X series | 1 | Seasonal Period (s) | 12 | Box-Cox transformation parameter (lambda) of Y series | 0 | Degree of non-seasonal differencing (d) of Y series | 0 | Degree of seasonal differencing (D) of Y series | 1 | k | rho(Y[t],X[t+k]) | -13 | -0.0488788572488967 | -12 | -0.0998087221778246 | -11 | 0.0207981266521907 | -10 | -0.103857956893088 | -9 | -0.0768015949673424 | -8 | 0.0351199803799179 | -7 | -0.149113048330121 | -6 | -0.0886023672034659 | -5 | -0.193016327640973 | -4 | -0.250140282101403 | -3 | -0.180079032630057 | -2 | -0.0940882179006748 | -1 | 0.0870328758247202 | 0 | 0.0990369345980676 | 1 | -0.266545446257949 | 2 | -0.2122221350283 | 3 | -0.106437579542732 | 4 | 0.034913436337988 | 5 | 0.246431911516473 | 6 | -0.0542817744560465 | 7 | -0.240141527195017 | 8 | -0.0080426654131642 | 9 | -0.0613692395681638 | 10 | -0.0882018125679415 | 11 | -0.0277258864842913 | 12 | -0.177837607836941 | 13 | -0.00952212788594813 |
| | Charts produced by software: | | http://www.freestatistics.org/blog/date/2010/Dec/14/t12923491083zfefmvb6qpzvt0/1t6hj1292349229.png (open in new window) | http://www.freestatistics.org/blog/date/2010/Dec/14/t12923491083zfefmvb6qpzvt0/1t6hj1292349229.ps (open in new window) |
| | Parameters (Session): | par1 = 4 ; par2 = none ; par4 = no ; | | Parameters (R input): | par1 = 0.0 ; par2 = 0 ; par3 = 1 ; par4 = 12 ; par5 = 0.0 ; par6 = 0 ; par7 = 1 ; | | R code (references can be found in the software module): | 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
y
bitmap(file='test1.png')
(r <- ccf(x,y,main='Cross Correlation Function',ylab='CCF',xlab='Lag (k)'))
dev.off()
load(file='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='mytable.tab')
| |
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