[R] Confidence intervals in ccf()

Shruthi Jayaram shruthi.jayaram.85 at gmail.com
Tue Jan 20 18:25:51 CET 2009


Hi,

I have been running the ccf() function to find cross-correlations of time
series across various lags. When I give the option of plot=TRUE, I get a
plot that gives me 95% confidence interval cut-offs (based on sample
covariances) for my cross-correlations at each lag. This gives me a sense of
whether my cross-correlations are statistically significant or not. 

However, I am unable to get R to return the value of these critical values
to me in say, an object or vector form. Would anyone be able to help me
extract the critical values (at 95%) from the ccf() function? 

Thanks very much in advance,

Shruthi
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