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Author

*The author of this computation has been verified*

R Software Module

rwasp_cross.wasp

Title produced by software

Cross Correlation Function

Date of computation

Mon, 01 Dec 2008 16:15:57 -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/2008/Dec/02/t12281734152osvlv6a7wg2j53.htm/, Retrieved Sun, 19 May 2024 11:33:25 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=27522, Retrieved Sun, 19 May 2024 11:33:25 +0000

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IsPrivate?

No (this computation is public)

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Estimated Impact

222

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

-     [Cross Correlation Function] [Q7] [2008-12-01 22:54:30] [7173087adebe3e3a714c80ea2417b3eb]
-   P     [Cross Correlation Function] [Q8] [2008-12-01 23:15:57] [95d95b0e883740fcbc85e18ec42dcafb] [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	'George Udny Yule' @ 72.249.76.132

\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 & 'George Udny Yule' @ 72.249.76.132 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=27522&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]'George Udny Yule' @ 72.249.76.132[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=27522&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=27522&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	'George Udny Yule' @ 72.249.76.132

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)	1
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])
-14	-0.147997862597898
-13	-0.114343677998402
-12	0.477959898871232
-11	-0.298279183648271
-10	-0.0592453693514017
-9	0.304751598597636
-8	-0.194788824212791
-7	-0.137118312814334
-6	0.192761537375991
-5	-0.0446598480608381
-4	-0.254988805194607
-3	0.359980526543425
-2	-0.189884427748505
-1	-0.175053058873143
0	0.451374387310907
1	-0.317532240012743
2	0.0576409336221611
3	0.289884890015992
4	-0.227157501703119
5	-0.0945885587229398
6	0.171112485662083
7	0.0195994936327266
8	-0.34091233864774
9	0.276665155844448
10	-0.0266322547998789
11	-0.134596756307683
12	0.325270134305942
13	-0.199900869691422
14	-0.0265947202363596

\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) & 1 \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
-14 & -0.147997862597898 \tabularnewline
-13 & -0.114343677998402 \tabularnewline
-12 & 0.477959898871232 \tabularnewline
-11 & -0.298279183648271 \tabularnewline
-10 & -0.0592453693514017 \tabularnewline
-9 & 0.304751598597636 \tabularnewline
-8 & -0.194788824212791 \tabularnewline
-7 & -0.137118312814334 \tabularnewline
-6 & 0.192761537375991 \tabularnewline
-5 & -0.0446598480608381 \tabularnewline
-4 & -0.254988805194607 \tabularnewline
-3 & 0.359980526543425 \tabularnewline
-2 & -0.189884427748505 \tabularnewline
-1 & -0.175053058873143 \tabularnewline
0 & 0.451374387310907 \tabularnewline
1 & -0.317532240012743 \tabularnewline
2 & 0.0576409336221611 \tabularnewline
3 & 0.289884890015992 \tabularnewline
4 & -0.227157501703119 \tabularnewline
5 & -0.0945885587229398 \tabularnewline
6 & 0.171112485662083 \tabularnewline
7 & 0.0195994936327266 \tabularnewline
8 & -0.34091233864774 \tabularnewline
9 & 0.276665155844448 \tabularnewline
10 & -0.0266322547998789 \tabularnewline
11 & -0.134596756307683 \tabularnewline
12 & 0.325270134305942 \tabularnewline
13 & -0.199900869691422 \tabularnewline
14 & -0.0265947202363596 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=27522&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]1[/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]-14[/C][C]-0.147997862597898[/C][/ROW]
[ROW][C]-13[/C][C]-0.114343677998402[/C][/ROW]
[ROW][C]-12[/C][C]0.477959898871232[/C][/ROW]
[ROW][C]-11[/C][C]-0.298279183648271[/C][/ROW]
[ROW][C]-10[/C][C]-0.0592453693514017[/C][/ROW]
[ROW][C]-9[/C][C]0.304751598597636[/C][/ROW]
[ROW][C]-8[/C][C]-0.194788824212791[/C][/ROW]
[ROW][C]-7[/C][C]-0.137118312814334[/C][/ROW]
[ROW][C]-6[/C][C]0.192761537375991[/C][/ROW]
[ROW][C]-5[/C][C]-0.0446598480608381[/C][/ROW]
[ROW][C]-4[/C][C]-0.254988805194607[/C][/ROW]
[ROW][C]-3[/C][C]0.359980526543425[/C][/ROW]
[ROW][C]-2[/C][C]-0.189884427748505[/C][/ROW]
[ROW][C]-1[/C][C]-0.175053058873143[/C][/ROW]
[ROW][C]0[/C][C]0.451374387310907[/C][/ROW]
[ROW][C]1[/C][C]-0.317532240012743[/C][/ROW]
[ROW][C]2[/C][C]0.0576409336221611[/C][/ROW]
[ROW][C]3[/C][C]0.289884890015992[/C][/ROW]
[ROW][C]4[/C][C]-0.227157501703119[/C][/ROW]
[ROW][C]5[/C][C]-0.0945885587229398[/C][/ROW]
[ROW][C]6[/C][C]0.171112485662083[/C][/ROW]
[ROW][C]7[/C][C]0.0195994936327266[/C][/ROW]
[ROW][C]8[/C][C]-0.34091233864774[/C][/ROW]
[ROW][C]9[/C][C]0.276665155844448[/C][/ROW]
[ROW][C]10[/C][C]-0.0266322547998789[/C][/ROW]
[ROW][C]11[/C][C]-0.134596756307683[/C][/ROW]
[ROW][C]12[/C][C]0.325270134305942[/C][/ROW]
[ROW][C]13[/C][C]-0.199900869691422[/C][/ROW]
[ROW][C]14[/C][C]-0.0265947202363596[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=27522&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=27522&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)	1
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])
-14	-0.147997862597898
-13	-0.114343677998402
-12	0.477959898871232
-11	-0.298279183648271
-10	-0.0592453693514017
-9	0.304751598597636
-8	-0.194788824212791
-7	-0.137118312814334
-6	0.192761537375991
-5	-0.0446598480608381
-4	-0.254988805194607
-3	0.359980526543425
-2	-0.189884427748505
-1	-0.175053058873143
0	0.451374387310907
1	-0.317532240012743
2	0.0576409336221611
3	0.289884890015992
4	-0.227157501703119
5	-0.0945885587229398
6	0.171112485662083
7	0.0195994936327266
8	-0.34091233864774
9	0.276665155844448
10	-0.0266322547998789
11	-0.134596756307683
12	0.325270134305942
13	-0.199900869691422
14	-0.0265947202363596

Figure 1

PNG link

Postscript link

PDF link

Parameters (Session):

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

Parameters (R input):

par1 = 1 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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) 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