Hello!
I found the ccf function gives different estimates than the simple lag
correlations.
Why is that?
This is my code:
set.seed(20)
x<-rnorm(20)
y<-x+rnorm(20,sd=0.3)
print("R CCF:")
print(ccf(x,y,lag.max=2,plot=F))
myccf<- c( cor(y[-(1:2)],x[-(19:20)]) , cor(y[-1],x[-20]),
cor(y,x),
cor(x[-1],y[-20]),cor(x[-(1:2)],y[-(19:20)]) )
print("My CCF:")
print(myccf)
Thank You!
Ron
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