Q5. Compute the Cross Correlation Function between (at least) one Yt
| Summary of compuational transaction | |
| Raw Input | view raw input (R code) |
| Raw Output | view raw output of R engine |
| Computing time | 3 seconds |
| R Server | 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 |
| Cross Correlation Function | |
| Parameter | Value |
| Box-Cox transformation parameter (lambda) of X series | 1 |
| Degree of non-seasonal differencing (d) of X series | 0 |
| Degree of seasonal differencing (D) of X series | 0 |
| Seasonal Period (s) | 1 |
| Box-Cox transformation parameter (lambda) of Y series | 1 |
| 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]) |
| -15 | -0.145053772375437 |
| -14 | 0.0324789366082915 |
| -13 | 0.428852881196256 |
| -12 | -0.375148136232122 |
| -11 | -0.195763962709013 |
| -10 | 0.293390192673532 |
| -9 | -0.102540119859827 |
| -8 | -0.0949541448579465 |
| -7 | 0.249995005523389 |
| -6 | -0.198685663726885 |
| -5 | 0.00336964494792187 |
| -4 | 0.152855419870542 |
| -3 | -0.249642694182971 |
| -2 | 0.145187756727366 |
| -1 | 0.558697781062267 |
| 0 | -0.572631999091446 |
| 1 | -0.146700257144615 |
| 2 | 0.248546831769132 |
| 3 | -0.157352622027792 |
| 4 | -0.000112802237635372 |
| 5 | 0.193879770485007 |
| 6 | -0.266801920629453 |
| 7 | 0.099138341396598 |
| 8 | 0.109216083916216 |
| 9 | -0.272782261482346 |
| 10 | 0.205549587293035 |
| 11 | 0.372864281588813 |
| 12 | -0.452683366124496 |
| 13 | -0.0365854446369496 |
| 14 | 0.143451802078459 |
| 15 | -0.142122844422988 |
 |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/26/t11960738318dfolrtllv9weng/1yqoj1196074324.png (open in new window) |
| http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Nov/26/t11960738318dfolrtllv9weng/1yqoj1196074324.ps (open in new window) |
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) x <- diff(y,lag=par4,difference=par7)
x
y
bitmap(file='test1.png')
(r <- ccf(x,y,main='Cross Correlation Function',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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