Does anyone know of any R code for computing partial cross-correlation? I have
examples of cross correlation functions (ccfs) that are not smooth but rather
consist of a peak of several high values in consecutive lags, with sharp drops
on either side. This indicates that y(t) is a function of some average of
x(t-tau) at the set of lags tau over which the ccf is high. I could sort out
these behaviors more precisely with ccf and partial ccf. I just don't know how
to compute the partial ccf in R.
Thanks,
Kevin
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