[R] Cross-Correlation function (CCF) issues
manta
mantino84 at libero.it
Tue Apr 21 23:45:00 CEST 2009
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(0.0800000000000018, 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
>>>
>>> ______________________________________________
>>> R-help at 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 at 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 at 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.
>
>
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