[R] ccf function
Megan Moreau
m_j_moreau at yahoo.com
Wed Jul 14 04:48:38 CEST 2010
Hello,
I am a very new R user and not a statistician so please excuse any over
explanation, I'm just trying to be as clear as possible.
I have performed a cross correlation of two time series (my columns) in a single
data setusing:
ccf(ts(A[rows,columnX]),(A[rows,columnY]), lag=NULL, type="correlation",plot=F)
I am able to get the results (for example):
Autocorrelations of series ‘X’, by lag
-14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4
-0.128 -0.126 -0.109 -0.087 -0.060 -0.035 -0.002 0.027 0.064 0.106 0.157
-3 -2 -1 0 1 2 3 4 5 6 7
0.201 0.255 0.293 0.314 0.261 0.196 0.117 0.029 -0.059 -0.131 -0.169
8 9 10 11 12 13 14
-0.184 -0.277 -0.343 -0.368 -0.373 -0.358 -0.335
My questions are these:
1) When I set a NULL value to the lag.max, does that assume k-1 of time? or if
I have, for example, 50 time frames do I have assert lag.max=49 (as k-1)?
2) How do I read the results? when I plot the above the first value that shows
significance is 0.293 at -1. Does that mean at that lag X leads Y? I am
specifically trying to resolve if X leads Y or not.
3) Lastly, is there a function that will pull out the first maximum/significant
value? I tried which.max(x), max(x) and nothing seems to be working.
All ideas are appreciated. I apologize for the simple questions.... but you
have to start somewhere!
Megan
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