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Author

*Unverified author*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Mon, 26 Nov 2007 12:28:57 -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/2007/Nov/26/t1196105275nop92mw33k70wd3.htm/, Retrieved Fri, 03 May 2024 01:11:06 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=6647, Retrieved Fri, 03 May 2024 01:11:06 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords

Estimated Impact

195

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

-       [Cross Correlation Function] [Cross correlation] [2007-11-26 19:28:57] [7c5c775a3769ba2649d285a4261e023c] [Current]

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Dataseries X:

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Histogram

Boxplots

15
3
2
-2
1
1
-1
-6
-13
-25
-26
-9
1
3
6
2
5
5
0
-5
-4
-2
-1
-8
-16
-19
-28
-11
-4
-9
-12
-10
-2
-13
0
0
4
7
5
2
-2
6
-3
1
0
-7
-6
-4
-4
-2
2
-5
-15
-16
-18
-13
-23
-10
-10
-6
-3
-4
-7
-7
-7
-3
0
-5
-3
3
2
-7
-1
0
-3
4
2
3
0
-10
-10

Dataseries Y:

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Histogram

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

\begin{tabular}{lllllllll}
\hline
Summary of compuational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 3 seconds \tabularnewline
R Server & 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6647&T=0

[TABLE]
[ROW][C]Summary of compuational 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]3 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Herman Ole Andreas Wold' @ 193.190.124.10:1001[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6647&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6647&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 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)	12
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	0
k	rho(Y[t],X[t+k])
-16	-0.0498388532403763
-15	-0.0804981756120672
-14	-0.109461363042819
-13	-0.132582895120994
-12	-0.183062799455178
-11	-0.187122982217569
-10	-0.162037477594858
-9	-0.0985372126967116
-8	-0.0420559768142627
-7	-0.0157917186637778
-6	-0.0306531416696164
-5	-0.100852547995769
-4	-0.129420559958726
-3	-0.136447880468952
-2	-0.153690528866456
-1	-0.176851050692258
0	-0.215356079251745
1	-0.171249488840212
2	-0.103437690747460
3	-0.0103986065212486
4	0.0753781165804042
5	0.127045740797720
6	0.136497957959726
7	0.121851445745851
8	0.0996425172809738
9	0.0740409137856076
10	0.0028174642111981
11	-0.0705750706653089
12	-0.0962560154566338
13	-0.0521175381166776
14	0.00323330798368672
15	0.0429478046858245
16	0.0651116686679851

\begin{tabular}{lllllllll}
\hline
Cross Correlation Function \tabularnewline
Parameter & Value \tabularnewline
Box-Cox transformation parameter (lambda) of X series & 1 \tabularnewline
Degree of non-seasonal differencing (d) of X series & 0 \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 & 0 \tabularnewline
Degree of seasonal differencing (D) of Y series & 0 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-16 & -0.0498388532403763 \tabularnewline
-15 & -0.0804981756120672 \tabularnewline
-14 & -0.109461363042819 \tabularnewline
-13 & -0.132582895120994 \tabularnewline
-12 & -0.183062799455178 \tabularnewline
-11 & -0.187122982217569 \tabularnewline
-10 & -0.162037477594858 \tabularnewline
-9 & -0.0985372126967116 \tabularnewline
-8 & -0.0420559768142627 \tabularnewline
-7 & -0.0157917186637778 \tabularnewline
-6 & -0.0306531416696164 \tabularnewline
-5 & -0.100852547995769 \tabularnewline
-4 & -0.129420559958726 \tabularnewline
-3 & -0.136447880468952 \tabularnewline
-2 & -0.153690528866456 \tabularnewline
-1 & -0.176851050692258 \tabularnewline
0 & -0.215356079251745 \tabularnewline
1 & -0.171249488840212 \tabularnewline
2 & -0.103437690747460 \tabularnewline
3 & -0.0103986065212486 \tabularnewline
4 & 0.0753781165804042 \tabularnewline
5 & 0.127045740797720 \tabularnewline
6 & 0.136497957959726 \tabularnewline
7 & 0.121851445745851 \tabularnewline
8 & 0.0996425172809738 \tabularnewline
9 & 0.0740409137856076 \tabularnewline
10 & 0.0028174642111981 \tabularnewline
11 & -0.0705750706653089 \tabularnewline
12 & -0.0962560154566338 \tabularnewline
13 & -0.0521175381166776 \tabularnewline
14 & 0.00323330798368672 \tabularnewline
15 & 0.0429478046858245 \tabularnewline
16 & 0.0651116686679851 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=6647&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]1[/C][/ROW]
[ROW][C]Degree of non-seasonal differencing (d) of X series[/C][C]0[/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]0[/C][/ROW]
[ROW][C]Degree of seasonal differencing (D) of Y series[/C][C]0[/C][/ROW]
[ROW][C]k[/C][C]rho(Y[t],X[t+k])[/C][/ROW]
[ROW][C]-16[/C][C]-0.0498388532403763[/C][/ROW]
[ROW][C]-15[/C][C]-0.0804981756120672[/C][/ROW]
[ROW][C]-14[/C][C]-0.109461363042819[/C][/ROW]
[ROW][C]-13[/C][C]-0.132582895120994[/C][/ROW]
[ROW][C]-12[/C][C]-0.183062799455178[/C][/ROW]
[ROW][C]-11[/C][C]-0.187122982217569[/C][/ROW]
[ROW][C]-10[/C][C]-0.162037477594858[/C][/ROW]
[ROW][C]-9[/C][C]-0.0985372126967116[/C][/ROW]
[ROW][C]-8[/C][C]-0.0420559768142627[/C][/ROW]
[ROW][C]-7[/C][C]-0.0157917186637778[/C][/ROW]
[ROW][C]-6[/C][C]-0.0306531416696164[/C][/ROW]
[ROW][C]-5[/C][C]-0.100852547995769[/C][/ROW]
[ROW][C]-4[/C][C]-0.129420559958726[/C][/ROW]
[ROW][C]-3[/C][C]-0.136447880468952[/C][/ROW]
[ROW][C]-2[/C][C]-0.153690528866456[/C][/ROW]
[ROW][C]-1[/C][C]-0.176851050692258[/C][/ROW]
[ROW][C]0[/C][C]-0.215356079251745[/C][/ROW]
[ROW][C]1[/C][C]-0.171249488840212[/C][/ROW]
[ROW][C]2[/C][C]-0.103437690747460[/C][/ROW]
[ROW][C]3[/C][C]-0.0103986065212486[/C][/ROW]
[ROW][C]4[/C][C]0.0753781165804042[/C][/ROW]
[ROW][C]5[/C][C]0.127045740797720[/C][/ROW]
[ROW][C]6[/C][C]0.136497957959726[/C][/ROW]
[ROW][C]7[/C][C]0.121851445745851[/C][/ROW]
[ROW][C]8[/C][C]0.0996425172809738[/C][/ROW]
[ROW][C]9[/C][C]0.0740409137856076[/C][/ROW]
[ROW][C]10[/C][C]0.0028174642111981[/C][/ROW]
[ROW][C]11[/C][C]-0.0705750706653089[/C][/ROW]
[ROW][C]12[/C][C]-0.0962560154566338[/C][/ROW]
[ROW][C]13[/C][C]-0.0521175381166776[/C][/ROW]
[ROW][C]14[/C][C]0.00323330798368672[/C][/ROW]
[ROW][C]15[/C][C]0.0429478046858245[/C][/ROW]
[ROW][C]16[/C][C]0.0651116686679851[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=6647&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=6647&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	1
Degree of non-seasonal differencing (d) of X series	0
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	0
Degree of seasonal differencing (D) of Y series	0
k	rho(Y[t],X[t+k])
-16	-0.0498388532403763
-15	-0.0804981756120672
-14	-0.109461363042819
-13	-0.132582895120994
-12	-0.183062799455178
-11	-0.187122982217569
-10	-0.162037477594858
-9	-0.0985372126967116
-8	-0.0420559768142627
-7	-0.0157917186637778
-6	-0.0306531416696164
-5	-0.100852547995769
-4	-0.129420559958726
-3	-0.136447880468952
-2	-0.153690528866456
-1	-0.176851050692258
0	-0.215356079251745
1	-0.171249488840212
2	-0.103437690747460
3	-0.0103986065212486
4	0.0753781165804042
5	0.127045740797720
6	0.136497957959726
7	0.121851445745851
8	0.0996425172809738
9	0.0740409137856076
10	0.0028174642111981
11	-0.0705750706653089
12	-0.0962560154566338
13	-0.0521175381166776
14	0.00323330798368672
15	0.0429478046858245
16	0.0651116686679851

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

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

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) 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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Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code