[R] Cross-correlation between two time series data

[Andrew Robinson]

Hi Spencer,

you are quite right.  I should have been careful to emphasize that the
strategy I suggested was intended only to produce the "test for no
correlation" clause of the "either a confidence interval or a test for
no correlation" sentence.

Cheers

Andrew

On Mon, Sep 04, 2006 at 04:00:44PM -0700, Spencer Graves wrote:
> Hi, Andrew: 
> 
>      This will produce a "permutation distribution" for the correlation 
> under the null hypothesis of zero correlation between the variables.  
> This is a reasonable thing to do, and would probably produce limits more 
> accurate than the dashed red lines on the 'ccf' plot.  However, they 
> would NOT be confidence interval(s). 
> 
>      For a confidence interval on cross correlation, you'd have to 
> hypothesize some cross correlation pattern between x and y, preferably 
> parameterized parsimoniously, then somehow determine an appropriate 
> range of values consistent with the data.  By the time you've done all 
> that, you've effectively fit some model and constructed confidence 
> intervals on the parameter(s). 
> 
>      Best Wishes,
>      Spencer
> 
> Andrew Robinson wrote:
> >Jun,
> >
> >If your interest is to estimate the correlation and either a
> >confidence interval or a test for no correlation, then you might try
> >to proceed as follows.  This is a Monte-Carlo significance test, and a
> >useful strategy.
> >
> >1) use ccf() to compute the cross-correlation between x and y.
> >
> >2) repeat the following steps, say, 1000 times.
> >
> >2a) randomly reorder the values of one of the time series, say x.
> >    Call the randomly reordered series x'. 
> >
> >2b) use ccf() to compute the cross-correlation between x' and y.
> >    Store that cross-correlation.
> >
> >3) the 1000 cross-correlation estimates computed in step 2 are all
> >   estimating cross-correlation 0, conditional on the data.  A
> >   two-tailed test then is: if the cross-correlation computed in step
> >   1 is outside the (0.025, 0.975) quantiles of the empirical
> >   distribution of the cross-correlations computed in step 2, then,
> >   reject the null hypothesis that x and y are uncorrelated, with size
> >   0.05.
> >
> >I hope that this helps.
> >
> >Andrew
> >
> >
> >Juni Joshi wrote:
> >  
> >>   Hi all,
> >>
> >>   I  have  two  time  series  data  (say  x  and  y). I am interested to
> >>   calculate the correlation between them and its confidence interval (or
> >>   to  test  no  correlation). Function cor.test(x,y) does the test of no
> >>   correlation. But this test probably is wrong because of autocorrelated
> >>   data.
> >>
> >>   ccf()  calculates the correlation between two series data. But it does
> >>   not  provide  the  confidence intervals of cross correlation. Is there
> >>   any  function  that  calculates the confidence interval of correlation
> >>   between  two  time  series data or performs the test of no correlation
> >>   between two time series data.
> >>
> >>   Thanks.
> >>
> >>   Jun
> >>______________________________________________
> >>R-help at stat.math.ethz.ch mailing list
> >>https://stat.ethz.ch/mailman/listinfo/r-help
> >>PLEASE do read the posting guide 
> >>http://www.R-project.org/posting-guide.html
> >>and provide commented, minimal, self-contained, reproducible code.
> >>
> >>    
> >
> >  

-- 
Andrew Robinson  
Department of Mathematics and Statistics            Tel: +61-3-8344-9763
University of Melbourne, VIC 3010 Australia         Fax: +61-3-8344-4599
Email: a.robinson at ms.unimelb.edu.au         http://www.ms.unimelb.edu.au