On 11/28/2006 11:50 AM, A.I. McLeod wrote: > Hi Duncan, Hi Ian.
> > ccf(x,y) does not explain whether c(k)=cov(x(t),x(t+k)) or > d(k)=cov(x(t),x(t-k)) is calculated. The following example demonstrates > that the c(k) definition is used: > ccf(c(-1,1,rep(0,8)),c(1,rep(0,9))) > However S-Plus acf uses the d(k) definition in their acf function. I don't think our code looks right, let alone our documentation. In both R-devel and R-patched I get a lag zero value of 1 from ccf(), and I think I should get cor(x,y), which in your example, would be -0.74: and that is what I get from 2.4.0. I hope this isn't a result of my patch to allow length 1 series... Duncan Murdoch P.S. No need to send to more than one of R-devel, R-bugs, or me. I'll see the message on any of them. It's probably best to default to R-devel for suggestions like this, but the lag 0 value really is a bug, I think. > > For interpretive purposes this is a **vital distinction** (the > cross-covariance/correlation is not symmetric like the > autocovariance/autocorrelation). There is not fixed convention is textbooks > or research papers. Some define it one way and other > another. > > There is no ccf function in S-Plus. Instead there is only acf for the > auto/cross computation in multivariate time series. This is > more complicated since numerical output is 3D array. > > Here is how S-Plus documents it: > > VALUE: > a list with the following components: > acf > a three-dimensional array containing the autocovariance or autocorrelation > function estimates. acf[i,j,k] is the covariance (or > correlation) between the j -th series at time t and the k-th series at time > t+1-i. > lag > an array the same shape as acf containing the lags (as fractions of the > sampling period) at which acf is calculated. If j > k and i > > 1, then lag[i,j,k] is negative. > > Ian McLeod > > ______________________________________________ > R-devel@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-devel ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
