[R] Cross-Correlation function (CCF) issues

[David Winsemius]

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(0.0800000000000018, 0.009999999999998,  
> 0.170000000000002,
> -0.0300000000000011, 0, 0.629999999999999, -0.319999999999997,
> -0.430000000000003, -0.469999999999999, -0.359999999999999), 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
>>> 1996-01-02    1996-01-03    1996-01-04    1996-01-05    1996-01-08
>>> 0.0005814396 -0.0023725000 -0.0072835915  0.0074536448 -0.0007004221
>>>
>>> dr2
>>>  1996-01-03    1996-01-04    1996-01-05    1996-01-08    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