[R] How does ccf() really work?

Robert Lundqvist Robert.Lundqvist at ltu.se
Thu Apr 13 15:35:39 CEST 2006


I can't understand the results from cross-correlation function ccf() 
even though it should be simple. 
Here's my short example:
*********
a<-rnorm(5);b<-rnorm(5)
a;b
[1]  1.4429135  0.8470067  1.2263730 -1.8159190 -0.6997260
[1] -0.4227674  0.8602645 -0.6810602 -1.4858726 -0.7008563

cc<-ccf(a,b,lag.max=4,type="correlation")

cc
Autocorrelations of series 'X', by lag

    -4     -3     -2     -1      0      1      2      3      4 
-0.056 -0.289 -0.232  0.199  0.618  0.568 -0.517 -0.280 -0.012 
**********
With lag 4 and vectors of length 5 there should as far as I can see 
only be 2 pairs of observations. The correlation would then be 1. 
Guess I am missing something really simple here. Anyone who could 
explain what is happening?

Robert




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