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Author's title

Author

*Unverified author*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Thu, 29 Nov 2007 07:33:50 -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/t119634623663h88f2jd5ixdte.htm/, Retrieved Fri, 03 May 2024 09:10:29 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=7491, Retrieved Fri, 03 May 2024 09:10:29 +0000

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Original text written by user:

IsPrivate?

No (this computation is public)

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Estimated Impact

164

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

-       [Cross Correlation Function] [Stationarity in t...] [2007-11-29 14:33:50] [fea8286ffce1c0d00dd375fb36de4323] [Current]

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Dataseries X:

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Dataseries Y:

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50.7
46.8
61.7
65.5
58.4
52.3
61.1
49.1
58.5
50.6
53.5
58.4
55.9
41.5
53.0
64.6
57.4
49.8
55.3
48.5
49.5
47.7
52.6
53.3
56.4
50.7
51.2
60.4
56.1
54.0
58.7
48.1
50.5
51.4
57.8
61.7
60.8
47.9
53.3
68.0
57.2
69.4
69.6
56.1
55.5
54.7
53.8
63.0
58.0
41.1
48.8
57.2
50.3
54.3
51.9
51.0
43.9
54.9
52.9
51.4

Summary of compuational 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 compuational 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=7491&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]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=7491&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7491&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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

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	1
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])
-13	0.163799620846864
-12	0.218650551038677
-11	-0.0529324909286887
-10	0.16309170188044
-9	0.0656738007846349
-8	0.0744610194928365
-7	0.249782093496751
-6	0.00847475711959384
-5	-0.0681028963132641
-4	-0.0351998006629607
-3	-0.144110363515108
-2	-0.210483279421673
-1	-0.0570173749193028
0	0.0268305232530122
1	-0.0779538823866974
2	-0.0483316417379889
3	-0.257880465461194
4	-0.0675293150269062
5	0.170750830238591
6	-0.052377615731577
7	0.0239054667229398
8	-0.0727495787511022
9	-0.124950967810947
10	-0.152913459099769
11	0.0547341003461665
12	-0.0387000361524939
13	-0.162057191903905

\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 & 1 \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
-13 & 0.163799620846864 \tabularnewline
-12 & 0.218650551038677 \tabularnewline
-11 & -0.0529324909286887 \tabularnewline
-10 & 0.16309170188044 \tabularnewline
-9 & 0.0656738007846349 \tabularnewline
-8 & 0.0744610194928365 \tabularnewline
-7 & 0.249782093496751 \tabularnewline
-6 & 0.00847475711959384 \tabularnewline
-5 & -0.0681028963132641 \tabularnewline
-4 & -0.0351998006629607 \tabularnewline
-3 & -0.144110363515108 \tabularnewline
-2 & -0.210483279421673 \tabularnewline
-1 & -0.0570173749193028 \tabularnewline
0 & 0.0268305232530122 \tabularnewline
1 & -0.0779538823866974 \tabularnewline
2 & -0.0483316417379889 \tabularnewline
3 & -0.257880465461194 \tabularnewline
4 & -0.0675293150269062 \tabularnewline
5 & 0.170750830238591 \tabularnewline
6 & -0.052377615731577 \tabularnewline
7 & 0.0239054667229398 \tabularnewline
8 & -0.0727495787511022 \tabularnewline
9 & -0.124950967810947 \tabularnewline
10 & -0.152913459099769 \tabularnewline
11 & 0.0547341003461665 \tabularnewline
12 & -0.0387000361524939 \tabularnewline
13 & -0.162057191903905 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=7491&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]1[/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]-13[/C][C]0.163799620846864[/C][/ROW]
[ROW][C]-12[/C][C]0.218650551038677[/C][/ROW]
[ROW][C]-11[/C][C]-0.0529324909286887[/C][/ROW]
[ROW][C]-10[/C][C]0.16309170188044[/C][/ROW]
[ROW][C]-9[/C][C]0.0656738007846349[/C][/ROW]
[ROW][C]-8[/C][C]0.0744610194928365[/C][/ROW]
[ROW][C]-7[/C][C]0.249782093496751[/C][/ROW]
[ROW][C]-6[/C][C]0.00847475711959384[/C][/ROW]
[ROW][C]-5[/C][C]-0.0681028963132641[/C][/ROW]
[ROW][C]-4[/C][C]-0.0351998006629607[/C][/ROW]
[ROW][C]-3[/C][C]-0.144110363515108[/C][/ROW]
[ROW][C]-2[/C][C]-0.210483279421673[/C][/ROW]
[ROW][C]-1[/C][C]-0.0570173749193028[/C][/ROW]
[ROW][C]0[/C][C]0.0268305232530122[/C][/ROW]
[ROW][C]1[/C][C]-0.0779538823866974[/C][/ROW]
[ROW][C]2[/C][C]-0.0483316417379889[/C][/ROW]
[ROW][C]3[/C][C]-0.257880465461194[/C][/ROW]
[ROW][C]4[/C][C]-0.0675293150269062[/C][/ROW]
[ROW][C]5[/C][C]0.170750830238591[/C][/ROW]
[ROW][C]6[/C][C]-0.052377615731577[/C][/ROW]
[ROW][C]7[/C][C]0.0239054667229398[/C][/ROW]
[ROW][C]8[/C][C]-0.0727495787511022[/C][/ROW]
[ROW][C]9[/C][C]-0.124950967810947[/C][/ROW]
[ROW][C]10[/C][C]-0.152913459099769[/C][/ROW]
[ROW][C]11[/C][C]0.0547341003461665[/C][/ROW]
[ROW][C]12[/C][C]-0.0387000361524939[/C][/ROW]
[ROW][C]13[/C][C]-0.162057191903905[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=7491&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=7491&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	1
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])
-13	0.163799620846864
-12	0.218650551038677
-11	-0.0529324909286887
-10	0.16309170188044
-9	0.0656738007846349
-8	0.0744610194928365
-7	0.249782093496751
-6	0.00847475711959384
-5	-0.0681028963132641
-4	-0.0351998006629607
-3	-0.144110363515108
-2	-0.210483279421673
-1	-0.0570173749193028
0	0.0268305232530122
1	-0.0779538823866974
2	-0.0483316417379889
3	-0.257880465461194
4	-0.0675293150269062
5	0.170750830238591
6	-0.052377615731577
7	0.0239054667229398
8	-0.0727495787511022
9	-0.124950967810947
10	-0.152913459099769
11	0.0547341003461665
12	-0.0387000361524939
13	-0.162057191903905

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

par1 = 1 ; par2 = 0 ; par3 = 1 ; 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')

Free Statistics

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Tree of Dependent Computations

Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code