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R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Sat, 19 Dec 2009 10:11:41 -0700

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2009/Dec/19/t1261242792s1c2dq320uun5vy.htm/, Retrieved Fri, 03 May 2024 15:21:20 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=69709, Retrieved Fri, 03 May 2024 15:21:20 +0000

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IsPrivate?

No (this computation is public)

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Estimated Impact

122

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

-     [(Partial) Autocorrelation Function] [(Partial) Autocor...] [2008-12-21 16:05:06] [005278dde49cfd8c32bf201feaeb19d6]
- RMPD  [Cross Correlation Function] [Cross Correlation...] [2008-12-23 16:39:50] [005278dde49cfd8c32bf201feaeb19d6]
-  M D      [Cross Correlation Function] [Cross correlatie] [2009-12-19 17:11:41] [986e3c28a4248c495afaef9fd432264f] [Current]

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Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 1 seconds \tabularnewline
R Server & 'Gwilym Jenkins' @ 72.249.127.135 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=69709&T=0

[TABLE]
[ROW][C]Summary of computational transaction[/C][/ROW]
[ROW][C]Raw Input[/C][C]view raw input (R code) [/C][/ROW]
[ROW][C]Raw Output[/C][C]view raw output of R engine [/C][/ROW]
[ROW][C]Computing time[/C][C]1 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Gwilym Jenkins' @ 72.249.127.135[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=69709&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=69709&T=0

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Cross Correlation Function
Parameter	Value
Box-Cox transformation parameter (lambda) of X series	-0.1
Degree of non-seasonal differencing (d) of X series	2
Degree of seasonal differencing (D) of X series	0
Seasonal Period (s)	12
Box-Cox transformation parameter (lambda) of Y series	1
Degree of non-seasonal differencing (d) of Y series	1
Degree of seasonal differencing (D) of Y series	1
k	rho(Y[t],X[t+k])
-18	-0.0474773366735374
-17	-0.0980551967523267
-16	-0.0733339670296092
-15	0.048679472446131
-14	0.0490763913516959
-13	-0.0125129652904135
-12	-0.0666058453278374
-11	0.104025173511909
-10	-0.0445440622375652
-9	0.0117073253090145
-8	0.0175839490545237
-7	-0.0782644548611893
-6	-0.0556311184383451
-5	0.144820971143159
-4	-0.0229774492732120
-3	-0.0751589781857867
-2	0.0157877132088247
-1	0.0891423296525816
0	-0.0306069681019897
1	0.00441098855938275
2	-0.0247209073404499
3	0.124397151120903
4	-0.076800500500832
5	-0.0889698742954368
6	0.0316138363237228
7	0.0366121356193526
8	-0.042732255182027
9	-0.00789824945405895
10	0.120367659215667
11	-0.158997567071170
12	0.0687793785416732
13	0.00864601515370195
14	-0.0024949932805035
15	-0.111470869811586
16	-0.0166201293431789
17	0.0489528768914314
18	0.129718265686407

\begin{tabular}{lllllllll}
\hline
Cross Correlation Function \tabularnewline
Parameter & Value \tabularnewline
Box-Cox transformation parameter (lambda) of X series & -0.1 \tabularnewline
Degree of non-seasonal differencing (d) of X series & 2 \tabularnewline
Degree of seasonal differencing (D) of X series & 0 \tabularnewline
Seasonal Period (s) & 12 \tabularnewline
Box-Cox transformation parameter (lambda) of Y series & 1 \tabularnewline
Degree of non-seasonal differencing (d) of Y series & 1 \tabularnewline
Degree of seasonal differencing (D) of Y series & 1 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-18 & -0.0474773366735374 \tabularnewline
-17 & -0.0980551967523267 \tabularnewline
-16 & -0.0733339670296092 \tabularnewline
-15 & 0.048679472446131 \tabularnewline
-14 & 0.0490763913516959 \tabularnewline
-13 & -0.0125129652904135 \tabularnewline
-12 & -0.0666058453278374 \tabularnewline
-11 & 0.104025173511909 \tabularnewline
-10 & -0.0445440622375652 \tabularnewline
-9 & 0.0117073253090145 \tabularnewline
-8 & 0.0175839490545237 \tabularnewline
-7 & -0.0782644548611893 \tabularnewline
-6 & -0.0556311184383451 \tabularnewline
-5 & 0.144820971143159 \tabularnewline
-4 & -0.0229774492732120 \tabularnewline
-3 & -0.0751589781857867 \tabularnewline
-2 & 0.0157877132088247 \tabularnewline
-1 & 0.0891423296525816 \tabularnewline
0 & -0.0306069681019897 \tabularnewline
1 & 0.00441098855938275 \tabularnewline
2 & -0.0247209073404499 \tabularnewline
3 & 0.124397151120903 \tabularnewline
4 & -0.076800500500832 \tabularnewline
5 & -0.0889698742954368 \tabularnewline
6 & 0.0316138363237228 \tabularnewline
7 & 0.0366121356193526 \tabularnewline
8 & -0.042732255182027 \tabularnewline
9 & -0.00789824945405895 \tabularnewline
10 & 0.120367659215667 \tabularnewline
11 & -0.158997567071170 \tabularnewline
12 & 0.0687793785416732 \tabularnewline
13 & 0.00864601515370195 \tabularnewline
14 & -0.0024949932805035 \tabularnewline
15 & -0.111470869811586 \tabularnewline
16 & -0.0166201293431789 \tabularnewline
17 & 0.0489528768914314 \tabularnewline
18 & 0.129718265686407 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=69709&T=1

[TABLE]
[ROW][C]Cross Correlation Function[/C][/ROW]
[ROW][C]Parameter[/C][C]Value[/C][/ROW]
[ROW][C]Box-Cox transformation parameter (lambda) of X series[/C][C]-0.1[/C][/ROW]
[ROW][C]Degree of non-seasonal differencing (d) of X series[/C][C]2[/C][/ROW]
[ROW][C]Degree of seasonal differencing (D) of X series[/C][C]0[/C][/ROW]
[ROW][C]Seasonal Period (s)[/C][C]12[/C][/ROW]
[ROW][C]Box-Cox transformation parameter (lambda) of Y series[/C][C]1[/C][/ROW]
[ROW][C]Degree of non-seasonal differencing (d) of Y series[/C][C]1[/C][/ROW]
[ROW][C]Degree of seasonal differencing (D) of Y series[/C][C]1[/C][/ROW]
[ROW][C]k[/C][C]rho(Y[t],X[t+k])[/C][/ROW]
[ROW][C]-18[/C][C]-0.0474773366735374[/C][/ROW]
[ROW][C]-17[/C][C]-0.0980551967523267[/C][/ROW]
[ROW][C]-16[/C][C]-0.0733339670296092[/C][/ROW]
[ROW][C]-15[/C][C]0.048679472446131[/C][/ROW]
[ROW][C]-14[/C][C]0.0490763913516959[/C][/ROW]
[ROW][C]-13[/C][C]-0.0125129652904135[/C][/ROW]
[ROW][C]-12[/C][C]-0.0666058453278374[/C][/ROW]
[ROW][C]-11[/C][C]0.104025173511909[/C][/ROW]
[ROW][C]-10[/C][C]-0.0445440622375652[/C][/ROW]
[ROW][C]-9[/C][C]0.0117073253090145[/C][/ROW]
[ROW][C]-8[/C][C]0.0175839490545237[/C][/ROW]
[ROW][C]-7[/C][C]-0.0782644548611893[/C][/ROW]
[ROW][C]-6[/C][C]-0.0556311184383451[/C][/ROW]
[ROW][C]-5[/C][C]0.144820971143159[/C][/ROW]
[ROW][C]-4[/C][C]-0.0229774492732120[/C][/ROW]
[ROW][C]-3[/C][C]-0.0751589781857867[/C][/ROW]
[ROW][C]-2[/C][C]0.0157877132088247[/C][/ROW]
[ROW][C]-1[/C][C]0.0891423296525816[/C][/ROW]
[ROW][C]0[/C][C]-0.0306069681019897[/C][/ROW]
[ROW][C]1[/C][C]0.00441098855938275[/C][/ROW]
[ROW][C]2[/C][C]-0.0247209073404499[/C][/ROW]
[ROW][C]3[/C][C]0.124397151120903[/C][/ROW]
[ROW][C]4[/C][C]-0.076800500500832[/C][/ROW]
[ROW][C]5[/C][C]-0.0889698742954368[/C][/ROW]
[ROW][C]6[/C][C]0.0316138363237228[/C][/ROW]
[ROW][C]7[/C][C]0.0366121356193526[/C][/ROW]
[ROW][C]8[/C][C]-0.042732255182027[/C][/ROW]
[ROW][C]9[/C][C]-0.00789824945405895[/C][/ROW]
[ROW][C]10[/C][C]0.120367659215667[/C][/ROW]
[ROW][C]11[/C][C]-0.158997567071170[/C][/ROW]
[ROW][C]12[/C][C]0.0687793785416732[/C][/ROW]
[ROW][C]13[/C][C]0.00864601515370195[/C][/ROW]
[ROW][C]14[/C][C]-0.0024949932805035[/C][/ROW]
[ROW][C]15[/C][C]-0.111470869811586[/C][/ROW]
[ROW][C]16[/C][C]-0.0166201293431789[/C][/ROW]
[ROW][C]17[/C][C]0.0489528768914314[/C][/ROW]
[ROW][C]18[/C][C]0.129718265686407[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=69709&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=69709&T=1

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Cross Correlation Function
Parameter	Value
Box-Cox transformation parameter (lambda) of X series	-0.1
Degree of non-seasonal differencing (d) of X series	2
Degree of seasonal differencing (D) of X series	0
Seasonal Period (s)	12
Box-Cox transformation parameter (lambda) of Y series	1
Degree of non-seasonal differencing (d) of Y series	1
Degree of seasonal differencing (D) of Y series	1
k	rho(Y[t],X[t+k])
-18	-0.0474773366735374
-17	-0.0980551967523267
-16	-0.0733339670296092
-15	0.048679472446131
-14	0.0490763913516959
-13	-0.0125129652904135
-12	-0.0666058453278374
-11	0.104025173511909
-10	-0.0445440622375652
-9	0.0117073253090145
-8	0.0175839490545237
-7	-0.0782644548611893
-6	-0.0556311184383451
-5	0.144820971143159
-4	-0.0229774492732120
-3	-0.0751589781857867
-2	0.0157877132088247
-1	0.0891423296525816
0	-0.0306069681019897
1	0.00441098855938275
2	-0.0247209073404499
3	0.124397151120903
4	-0.076800500500832
5	-0.0889698742954368
6	0.0316138363237228
7	0.0366121356193526
8	-0.042732255182027
9	-0.00789824945405895
10	0.120367659215667
11	-0.158997567071170
12	0.0687793785416732
13	0.00864601515370195
14	-0.0024949932805035
15	-0.111470869811586
16	-0.0166201293431789
17	0.0489528768914314
18	0.129718265686407

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = -0.1 ; par2 = 2 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 1 ; par7 = 1 ;

Parameters (R input):

par1 = -0.1 ; par2 = 2 ; par3 = 0 ; par4 = 12 ; par5 = 1 ; par6 = 1 ; 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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Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code