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 | :: Cross Correlation Function - Free Statistics Software (Calculator) :: | |
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All rights reserved. The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.
This free online software (calculator) computes the Cross Correlation Function for any univariate time series.
Click here to edit the underlying code of this R Module.Enter (or paste) your data delimited by hard returns. Click here to edit the underlying code of this R Module.
| Cite this software as: | | Wessa P., (2008), Cross Correlation Function (v1.0.6) in Free Statistics Software (v1.1.22-r6), Office for Research Development and Education, URL http://www.wessa.net/rwasp_cross.wasp/ | | | The R code is based on : | | | Borghers, E, and P. Wessa, Statistics - Econometrics - Forecasting, Office for Research Development and Education, http://www.xycoon.com/ | | | | | | | | | | | | | |
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| Source code of R module | | 1 | par1 <- as.numeric(par1) | | 2 | par2 <- as.numeric(par2) | | 3 | par3 <- as.numeric(par3) | | 4 | par4 <- as.numeric(par4) | | 5 | par5 <- as.numeric(par5) | | 6 | par6 <- as.numeric(par6) | | 7 | par7 <- as.numeric(par7) | | 8 | if (par1 == 0) { | | 9 | x <- log(x) | | 10 | } else { | | 11 | x <- (x ^ par1 - 1) / par1 | | 12 | } | | 13 | if (par5 == 0) { | | 14 | y <- log(y) | | 15 | } else { | | 16 | y <- (y ^ par5 - 1) / par5 | | 17 | } | | 18 | if (par2 > 0) x <- diff(x,lag=1,difference=par2) | | 19 | if (par6 > 0) y <- diff(y,lag=1,difference=par6) | | 20 | if (par3 > 0) x <- diff(x,lag=par4,difference=par3) | | 21 | if (par7 > 0) x <- diff(y,lag=par4,difference=par7) | | 22 | x | | 23 | y | | 24 | bitmap(file="test1.png") | | 25 | (r <- ccf(x,y,main="Cross Correlation Function",ylab="CCF",xlab="Lag (k)")) | | 26 | dev.off() | | 27 | load(file="createtable") | | 28 | a<-table.start() | | 29 | a<-table.row.start(a) | | 30 | a<-table.element(a,"Cross Correlation Function",2,TRUE) | | 31 | a<-table.row.end(a) | | 32 | a<-table.row.start(a) | | 33 | a<-table.element(a,"Parameter",header=TRUE) | | 34 | a<-table.element(a,"Value",header=TRUE) | | 35 | a<-table.row.end(a) | | 36 | a<-table.row.start(a) | | 37 | a<-table.element(a,"Box-Cox transformation parameter (lambda) of X series",header=TRUE) | | 38 | a<-table.element(a,par1) | | 39 | a<-table.row.end(a) | | 40 | a<-table.row.start(a) | | 41 | a<-table.element(a,"Degree of non-seasonal differencing (d) of X series",header=TRUE) | | 42 | a<-table.element(a,par2) | | 43 | a<-table.row.end(a) | | 44 | a<-table.row.start(a) | | 45 | a<-table.element(a,"Degree of seasonal differencing (D) of X series",header=TRUE) | | 46 | a<-table.element(a,par3) | | 47 | a<-table.row.end(a) | | 48 | a<-table.row.start(a) | | 49 | a<-table.element(a,"Seasonal Period (s)",header=TRUE) | | 50 | a<-table.element(a,par4) | | 51 | a<-table.row.end(a) | | 52 | a<-table.row.start(a) | | 53 | a<-table.element(a,"Box-Cox transformation parameter (lambda) of Y series",header=TRUE) | | 54 | a<-table.element(a,par5) | | 55 | a<-table.row.end(a) | | 56 | a<-table.row.start(a) | | 57 | a<-table.element(a,"Degree of non-seasonal differencing (d) of Y series",header=TRUE) | | 58 | a<-table.element(a,par6) | | 59 | a<-table.row.end(a) | | 60 | a<-table.row.start(a) | | 61 | a<-table.element(a,"Degree of seasonal differencing (D) of Y series",header=TRUE) | | 62 | a<-table.element(a,par7) | | 63 | a<-table.row.end(a) | | 64 | a<-table.row.start(a) | | 65 | a<-table.element(a,"k",header=TRUE) | | 66 | a<-table.element(a,"rho(Y[t],X[t+k])",header=TRUE) | | 67 | a<-table.row.end(a) | | 68 | mylength <- length(r$acf) | | 69 | myhalf <- floor((mylength-1)/2) | | 70 | for (i in 1:mylength) { | | 71 | a<-table.row.start(a) | | 72 | a<-table.element(a,i-myhalf-1,header=TRUE) | | 73 | a<-table.element(a,r$acf[i]) | | 74 | a<-table.row.end(a) | | 75 | } | | 76 | a<-table.end(a) | | 77 | table.save(a,file="mytable.tab") |
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To cite Wessa.net in publications use:
Wessa, P. (2008), Free Statistics Software, Office for Research Development and Education,
version 1.1.22-r6, URL http://www.wessa.net/
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