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Author

*Unverified author*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Thu, 29 Nov 2007 04:38:07 -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/29/t1196335651vqn9ny4upkvjey2.htm/, Retrieved Fri, 03 May 2024 14:55:45 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=7434, Retrieved Fri, 03 May 2024 14:55:45 +0000

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Original text written by user:

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No (this computation is public)

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Estimated Impact

162

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

-       [Cross Correlation Function] [Q6] [2007-11-29 11:38:07] [031886dbad66702fa31ca1c4d15fdd0f] [Current]

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Dataseries X:

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Dataseries Y:

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Histogram

5.22
5.09
4.77
4.54
4.56
4.39
4.73
4.44
4.3
4.24
4.01
3.5
3.23
3.28
3.49
3.7
3.63
3.95
3.73
3.87
3.66
3.49
3.4
3.32
3.11
3.06
2.68
2.55
2.34
2.34
2.39
2.21
2.09
2.14
2.31
2.14
2.45
2.52
2.3
2.25
2.06
1.99
2.25
2.26
2.36
2.3
2.19
2.31
2.21
2.21
2.26
2.18
2.21
2.33
2.12
2.08
1.97
2.09
2.11
2.24
2.45
2.68
2.73
2.76
2.83
3.16
3.22
3.22
3.34
3.35
3.42
3.58
3.71
3.68
3.83
3.94
3.88
4.03
4.15
4.32
4.4
4.37
4.14
4.11
4.16

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=7434&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=7434&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7434&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	1
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	0
k	rho(Y[t],X[t+k])
-16	-0.00254455182154964
-15	-0.138907047007309
-14	-0.0885164267908593
-13	-0.253109044072301
-12	-0.038611450354574
-11	-0.140849622127970
-10	-0.0523018039140582
-9	-0.0571305434012516
-8	-0.108880227580445
-7	-0.133950895273609
-6	0.0962128651016132
-5	-0.141049049992068
-4	0.211962274667664
-3	-0.0423618021321993
-2	0.141734121636331
-1	0.144118023234024
0	0.0407940775338713
1	-0.167188872623314
2	-0.323675116540023
3	-0.142951000918190
4	-0.0323368588526684
5	-0.0837356977153935
6	-0.180039043977569
7	0.231412031080134
8	-0.0995735939225276
9	0.0238371694226299
10	-0.138077944127864
11	-0.195448539587752
12	-0.0718051104011461
13	0.00577048217876824
14	0.00710923404424247
15	0.0077499883853729
16	0.00792541104360746

\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 & 1 \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 & 0 \tabularnewline
k & rho(Y[t],X[t+k]) \tabularnewline
-16 & -0.00254455182154964 \tabularnewline
-15 & -0.138907047007309 \tabularnewline
-14 & -0.0885164267908593 \tabularnewline
-13 & -0.253109044072301 \tabularnewline
-12 & -0.038611450354574 \tabularnewline
-11 & -0.140849622127970 \tabularnewline
-10 & -0.0523018039140582 \tabularnewline
-9 & -0.0571305434012516 \tabularnewline
-8 & -0.108880227580445 \tabularnewline
-7 & -0.133950895273609 \tabularnewline
-6 & 0.0962128651016132 \tabularnewline
-5 & -0.141049049992068 \tabularnewline
-4 & 0.211962274667664 \tabularnewline
-3 & -0.0423618021321993 \tabularnewline
-2 & 0.141734121636331 \tabularnewline
-1 & 0.144118023234024 \tabularnewline
0 & 0.0407940775338713 \tabularnewline
1 & -0.167188872623314 \tabularnewline
2 & -0.323675116540023 \tabularnewline
3 & -0.142951000918190 \tabularnewline
4 & -0.0323368588526684 \tabularnewline
5 & -0.0837356977153935 \tabularnewline
6 & -0.180039043977569 \tabularnewline
7 & 0.231412031080134 \tabularnewline
8 & -0.0995735939225276 \tabularnewline
9 & 0.0238371694226299 \tabularnewline
10 & -0.138077944127864 \tabularnewline
11 & -0.195448539587752 \tabularnewline
12 & -0.0718051104011461 \tabularnewline
13 & 0.00577048217876824 \tabularnewline
14 & 0.00710923404424247 \tabularnewline
15 & 0.0077499883853729 \tabularnewline
16 & 0.00792541104360746 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7434&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]1[/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]0[/C][/ROW]
[ROW][C]k[/C][C]rho(Y[t],X[t+k])[/C][/ROW]
[ROW][C]-16[/C][C]-0.00254455182154964[/C][/ROW]
[ROW][C]-15[/C][C]-0.138907047007309[/C][/ROW]
[ROW][C]-14[/C][C]-0.0885164267908593[/C][/ROW]
[ROW][C]-13[/C][C]-0.253109044072301[/C][/ROW]
[ROW][C]-12[/C][C]-0.038611450354574[/C][/ROW]
[ROW][C]-11[/C][C]-0.140849622127970[/C][/ROW]
[ROW][C]-10[/C][C]-0.0523018039140582[/C][/ROW]
[ROW][C]-9[/C][C]-0.0571305434012516[/C][/ROW]
[ROW][C]-8[/C][C]-0.108880227580445[/C][/ROW]
[ROW][C]-7[/C][C]-0.133950895273609[/C][/ROW]
[ROW][C]-6[/C][C]0.0962128651016132[/C][/ROW]
[ROW][C]-5[/C][C]-0.141049049992068[/C][/ROW]
[ROW][C]-4[/C][C]0.211962274667664[/C][/ROW]
[ROW][C]-3[/C][C]-0.0423618021321993[/C][/ROW]
[ROW][C]-2[/C][C]0.141734121636331[/C][/ROW]
[ROW][C]-1[/C][C]0.144118023234024[/C][/ROW]
[ROW][C]0[/C][C]0.0407940775338713[/C][/ROW]
[ROW][C]1[/C][C]-0.167188872623314[/C][/ROW]
[ROW][C]2[/C][C]-0.323675116540023[/C][/ROW]
[ROW][C]3[/C][C]-0.142951000918190[/C][/ROW]
[ROW][C]4[/C][C]-0.0323368588526684[/C][/ROW]
[ROW][C]5[/C][C]-0.0837356977153935[/C][/ROW]
[ROW][C]6[/C][C]-0.180039043977569[/C][/ROW]
[ROW][C]7[/C][C]0.231412031080134[/C][/ROW]
[ROW][C]8[/C][C]-0.0995735939225276[/C][/ROW]
[ROW][C]9[/C][C]0.0238371694226299[/C][/ROW]
[ROW][C]10[/C][C]-0.138077944127864[/C][/ROW]
[ROW][C]11[/C][C]-0.195448539587752[/C][/ROW]
[ROW][C]12[/C][C]-0.0718051104011461[/C][/ROW]
[ROW][C]13[/C][C]0.00577048217876824[/C][/ROW]
[ROW][C]14[/C][C]0.00710923404424247[/C][/ROW]
[ROW][C]15[/C][C]0.0077499883853729[/C][/ROW]
[ROW][C]16[/C][C]0.00792541104360746[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7434&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7434&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	1
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	0
k	rho(Y[t],X[t+k])
-16	-0.00254455182154964
-15	-0.138907047007309
-14	-0.0885164267908593
-13	-0.253109044072301
-12	-0.038611450354574
-11	-0.140849622127970
-10	-0.0523018039140582
-9	-0.0571305434012516
-8	-0.108880227580445
-7	-0.133950895273609
-6	0.0962128651016132
-5	-0.141049049992068
-4	0.211962274667664
-3	-0.0423618021321993
-2	0.141734121636331
-1	0.144118023234024
0	0.0407940775338713
1	-0.167188872623314
2	-0.323675116540023
3	-0.142951000918190
4	-0.0323368588526684
5	-0.0837356977153935
6	-0.180039043977569
7	0.231412031080134
8	-0.0995735939225276
9	0.0238371694226299
10	-0.138077944127864
11	-0.195448539587752
12	-0.0718051104011461
13	0.00577048217876824
14	0.00710923404424247
15	0.0077499883853729
16	0.00792541104360746

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

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