[Rd] ccf documentation bug or suggeston (PR#9393)
aim at stats.uwo.ca
aim at stats.uwo.ca
Tue Nov 28 17:50:44 CET 2006
Hi Duncan,
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.
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
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