Re: [R] Cross-Correlation function (CCF) issues
?? -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23156769.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Cross-Correlation function (CCF) issues
Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. On Apr 21, 2009, at 10:00 AM, manta wrote: ?? -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23156769.html Sent from the R help mailing list archive at Nabble.com. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Cross-Correlation function (CCF) issues
Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-051996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-081996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23157961.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Cross-Correlation function (CCF) issues
We still have an inadequate characterization of the data to answe the question ( as I remember it from yesterday). Missing, for example, is any information about lengths which would seem essential since (as I remember) you wantted to know why the result was so short. Why not put in a full working example with an extract of the data. Suggest you try using dput as a method of creating a working example. That way we (and the R interpreter) would get labels and class information. -- David Winsemius On Apr 21, 2009, at 10:56 AM, manta wrote: Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-051996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-081996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23157961.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Cross-Correlation function (CCF) issues
When I remake those variables and try ccf(do1,dr1), the plot appears reasonable. What problem were you experiencing? It looks as though your method of differencing (whatever it was) offset the date registration of the zoo series in dr2, but ccf(do1, dr2) still does not appear to choke on that input. -- David On Apr 21, 2009, at 4:06 PM, manta wrote: DW: Modifications of that output to reconstruct the series: do1 - structure(c(0.0818, 0.008, 0.172, -0.0311, 0, 0.629, -0.317, -0.433, -0.469, -0.359), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr1 - structure(c(0.000581439553993701, -0.00237250002417344, -0.00728359151384361, 0.00745364483017663, -0.000700422111259091, -0.00100249660582796, 0.00198943708754806, 0.000342959230417050, -0.00113732213621109, -0.00205039624417003), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr2 - structure(c(-0.00295393957816714, -0.00491109148967017, 0.0147372363440202, -0.00815406694143572, -0.000302074494568871, 0.00299193369337603, -0.00164647785713101, -0.00148028136662814, -0.000913074107958933, -0.00247839573899256), index = structure(c(9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = Date), class = zoo) total number of observations is 3393 for the original data set (i.e. for do1 is 3392, for do2 is 3391 and so on) David Winsemius wrote: We still have an inadequate characterization of the data to answe the question ( as I remember it from yesterday). Missing, for example, is any information about lengths which would seem essential since (as I remember) you wantted to know why the result was so short. Why not put in a full working example with an extract of the data. Suggest you try using dput as a method of creating a working example. That way we (and the R interpreter) would get labels and class information. -- David Winsemius On Apr 21, 2009, at 10:56 AM, manta wrote: Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-051996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-081996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco In response to ?? David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Cross-Correlation function (CCF) issues
This is what I get. ccf(do1,dr1) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' ccf(do1,dr2) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' Could the problem be in a different version of the ccf function i have? David Winsemius wrote: When I remake those variables and try ccf(do1,dr1), the plot appears reasonable. What problem were you experiencing? It looks as though your method of differencing (whatever it was) offset the date registration of the zoo series in dr2, but ccf(do1, dr2) still does not appear to choke on that input. -- David On Apr 21, 2009, at 4:06 PM, manta wrote: DW: Modifications of that output to reconstruct the series: do1 - structure(c(0.0818, 0.008, 0.172, -0.0311, 0, 0.629, -0.317, -0.433, -0.469, -0.359), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr1 - structure(c(0.000581439553993701, -0.00237250002417344, -0.00728359151384361, 0.00745364483017663, -0.000700422111259091, -0.00100249660582796, 0.00198943708754806, 0.000342959230417050, -0.00113732213621109, -0.00205039624417003), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr2 - structure(c(-0.00295393957816714, -0.00491109148967017, 0.0147372363440202, -0.00815406694143572, -0.000302074494568871, 0.00299193369337603, -0.00164647785713101, -0.00148028136662814, -0.000913074107958933, -0.00247839573899256), index = structure(c(9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = Date), class = zoo) total number of observations is 3393 for the original data set (i.e. for do1 is 3392, for do2 is 3391 and so on) David Winsemius wrote: We still have an inadequate characterization of the data to answe the question ( as I remember it from yesterday). Missing, for example, is any information about lengths which would seem essential since (as I remember) you wantted to know why the result was so short. Why not put in a full working example with an extract of the data. Suggest you try using dput as a method of creating a working example. That way we (and the R interpreter) would get labels and class information. -- David Winsemius On Apr 21, 2009, at 10:56 AM, manta wrote: Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-051996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-081996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco In response to ?? David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23165218.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Cross-Correlation function (CCF) issues
If you were doing that with the full sized do1 and dr1, then my guess would be different data as the root cause. If you were doing this on the tiny sample objects that I created from your dput output, then I don't have an answer, since there were no missing values in those objects. -- David Winsemius On Apr 21, 2009, at 5:21 PM, manta wrote: This is what I get. ccf(do1,dr1) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' ccf(do1,dr2) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' Could the problem be in a different version of the ccf function i have? David Winsemius wrote: When I remake those variables and try ccf(do1,dr1), the plot appears reasonable. What problem were you experiencing? It looks as though your method of differencing (whatever it was) offset the date registration of the zoo series in dr2, but ccf(do1, dr2) still does not appear to choke on that input. -- David On Apr 21, 2009, at 4:06 PM, manta wrote: DW: Modifications of that output to reconstruct the series: do1 - structure(c(0.0818, 0.008, 0.172, -0.0311, 0, 0.629, -0.317, -0.433, -0.469, -0.359), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr1 - structure(c(0.000581439553993701, -0.00237250002417344, -0.00728359151384361, 0.00745364483017663, -0.000700422111259091, -0.00100249660582796, 0.00198943708754806, 0.000342959230417050, -0.00113732213621109, -0.00205039624417003), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr2 - structure(c(-0.00295393957816714, -0.00491109148967017, 0.0147372363440202, -0.00815406694143572, -0.000302074494568871, 0.00299193369337603, -0.00164647785713101, -0.00148028136662814, -0.000913074107958933, -0.00247839573899256), index = structure(c(9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = Date), class = zoo) total number of observations is 3393 for the original data set (i.e. for do1 is 3392, for do2 is 3391 and so on) David Winsemius wrote: We still have an inadequate characterization of the data to answe the question ( as I remember it from yesterday). Missing, for example, is any information about lengths which would seem essential since (as I remember) you wantted to know why the result was so short. Why not put in a full working example with an extract of the data. Suggest you try using dput as a method of creating a working example. That way we (and the R interpreter) would get labels and class information. -- David Winsemius On Apr 21, 2009, at 10:56 AM, manta wrote: Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-051996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-081996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco In response to ?? David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23165218.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide
Re: [R] Cross-Correlation function (CCF) issues
The problem is that I was doing that for the tiny sample objects. So I really have no clue about David Winsemius wrote: If you were doing that with the full sized do1 and dr1, then my guess would be different data as the root cause. If you were doing this on the tiny sample objects that I created from your dput output, then I don't have an answer, since there were no missing values in those objects. -- David Winsemius On Apr 21, 2009, at 5:21 PM, manta wrote: This is what I get. ccf(do1,dr1) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' ccf(do1,dr2) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' Could the problem be in a different version of the ccf function i have? David Winsemius wrote: When I remake those variables and try ccf(do1,dr1), the plot appears reasonable. What problem were you experiencing? It looks as though your method of differencing (whatever it was) offset the date registration of the zoo series in dr2, but ccf(do1, dr2) still does not appear to choke on that input. -- David On Apr 21, 2009, at 4:06 PM, manta wrote: DW: Modifications of that output to reconstruct the series: do1 - structure(c(0.0818, 0.008, 0.172, -0.0311, 0, 0.629, -0.317, -0.433, -0.469, -0.359), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr1 - structure(c(0.000581439553993701, -0.00237250002417344, -0.00728359151384361, 0.00745364483017663, -0.000700422111259091, -0.00100249660582796, 0.00198943708754806, 0.000342959230417050, -0.00113732213621109, -0.00205039624417003), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr2 - structure(c(-0.00295393957816714, -0.00491109148967017, 0.0147372363440202, -0.00815406694143572, -0.000302074494568871, 0.00299193369337603, -0.00164647785713101, -0.00148028136662814, -0.000913074107958933, -0.00247839573899256), index = structure(c(9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = Date), class = zoo) total number of observations is 3393 for the original data set (i.e. for do1 is 3392, for do2 is 3391 and so on) David Winsemius wrote: We still have an inadequate characterization of the data to answe the question ( as I remember it from yesterday). Missing, for example, is any information about lengths which would seem essential since (as I remember) you wantted to know why the result was so short. Why not put in a full working example with an extract of the data. Suggest you try using dput as a method of creating a working example. That way we (and the R interpreter) would get labels and class information. -- David Winsemius On Apr 21, 2009, at 10:56 AM, manta wrote: Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-051996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-081996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco In response to ?? David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23165218.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Cross-Correlation function (CCF) issues
When I get such unexpected behavior, I generally reinstall software. I am currently using the Urbanek prepared MacOSX 2.8.1 binary under Leopard with the 64 bit GUI. The stats package is part of the core distribution, so reinstalling the stats package would mean reinstalling R. Other options would include using trace or other debugging facilities. -- David. On Apr 21, 2009, at 5:45 PM, manta wrote: The problem is that I was doing that for the tiny sample objects. So I really have no clue about David Winsemius wrote: If you were doing that with the full sized do1 and dr1, then my guess would be different data as the root cause. If you were doing this on the tiny sample objects that I created from your dput output, then I don't have an answer, since there were no missing values in those objects. -- David Winsemius On Apr 21, 2009, at 5:21 PM, manta wrote: This is what I get. ccf(do1,dr1) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' ccf(do1,dr2) Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : valore mancante nell'oggetto #italian translation of 'missing values in object' Could the problem be in a different version of the ccf function i have? David Winsemius wrote: When I remake those variables and try ccf(do1,dr1), the plot appears reasonable. What problem were you experiencing? It looks as though your method of differencing (whatever it was) offset the date registration of the zoo series in dr2, but ccf(do1, dr2) still does not appear to choke on that input. -- David On Apr 21, 2009, at 4:06 PM, manta wrote: DW: Modifications of that output to reconstruct the series: do1 - structure(c(0.0818, 0.008, 0.172, -0.0311, 0, 0.629, -0.317, -0.433, -0.469, -0.359), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr1 - structure(c(0.000581439553993701, -0.00237250002417344, -0.00728359151384361, 0.00745364483017663, -0.000700422111259091, -0.00100249660582796, 0.00198943708754806, 0.000342959230417050, -0.00113732213621109, -0.00205039624417003), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo); dr2 - structure(c(-0.00295393957816714, -0.00491109148967017, 0.0147372363440202, -0.00815406694143572, -0.000302074494568871, 0.00299193369337603, -0.00164647785713101, -0.00148028136662814, -0.000913074107958933, -0.00247839573899256), index = structure(c(9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = Date), class = zoo) total number of observations is 3393 for the original data set (i.e. for do1 is 3392, for do2 is 3391 and so on) David Winsemius wrote: We still have an inadequate characterization of the data to answe the question ( as I remember it from yesterday). Missing, for example, is any information about lengths which would seem essential since (as I remember) you wantted to know why the result was so short. Why not put in a full working example with an extract of the data. Suggest you try using dput as a method of creating a working example. That way we (and the R interpreter) would get labels and class information. -- David Winsemius On Apr 21, 2009, at 10:56 AM, manta wrote: Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-05 1996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-08 1996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco In response to ?? David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23165218.html Sent from
Re: [R] Cross-Correlation function (CCF) issues
Here you are dput(do1[1:10]) structure(c(0.0818, 0.008, 0.172, -0.0311, 0, 0.629, -0.317, -0.433, -0.469, -0.359), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo) dput(dr1[1:10]) structure(c(0.000581439553993701, -0.00237250002417344, -0.00728359151384361, 0.00745364483017663, -0.000700422111259091, -0.00100249660582796, 0.00198943708754806, 0.000342959230417050, -0.00113732213621109, -0.00205039624417003), index = structure(c(9497, 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = Date), class = zoo) dput(dr2[1:10]) structure(c(-0.00295393957816714, -0.00491109148967017, 0.0147372363440202, -0.00815406694143572, -0.000302074494568871, 0.00299193369337603, -0.00164647785713101, -0.00148028136662814, -0.000913074107958933, -0.00247839573899256), index = structure(c(9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = Date), class = zoo) total number of observations is 3393 for the original data set (i.e. for do1 is 3392, for do2 is 3391 and so on) David Winsemius wrote: We still have an inadequate characterization of the data to answe the question ( as I remember it from yesterday). Missing, for example, is any information about lengths which would seem essential since (as I remember) you wantted to know why the result was so short. Why not put in a full working example with an extract of the data. Suggest you try using dput as a method of creating a working example. That way we (and the R interpreter) would get labels and class information. -- David Winsemius On Apr 21, 2009, at 10:56 AM, manta wrote: Sorry, my bad, i did not mean to 'be mean'. Here are the first five observations for three variables (dr1, dr2 and doil) dr1 1996-01-021996-01-031996-01-041996-01-051996-01-08 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448 -0.0007004221 dr2 1996-01-031996-01-041996-01-051996-01-081996-01-09 -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669 -0.0003020745 do1 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08 0.08 0.01 0.17 -0.03 0.00 As you can see, dr2 is nothing but the 1st difference of dr1. In my case, I'm trying to find out the cross-correlation between the two variables do1 and dr1 up to their 10th lag (i.e. do1 with do2, do3, ..., do10,dr1,dr2,...,dr10, and the same for dr1). Hope it helps, Marco David Winsemius wrote: Are you trying to imply that people should be able to answer a question that included no data? As others have pointed out, our powers of telepathy are generally less than commonly assumed. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23157961.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. David Winsemius, MD Heritage Laboratories West Hartford, CT __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23163878.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Cross-Correlation function (CCF) issues
Dear all, I have two series of returns and I want to find the cross-correlations between these two series. I know of the ccf, but it does not work as I'd like if i type ccf(x,y,lag.max=20,type=correlation,plot=FALSE) i got the error message Error in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) : missing values in object So i found that somebody suggested to type ccf(x,y,lag.max=20,type=correlation,na.action=na.contiguous,plot=FALSE) but in this case I can only get the cross-correlations for four lagsm whatever series i plug in the ccf functions (i.e. it's not a matter of the particular series) Any suggestions? -- View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23145411.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
