[R] Cross correlation between two time series over nested time periods?
Tim
timlee126 at yahoo.com
Thu May 14 02:11:50 CEST 2015
Dear R users,
I have two time series
Calculate and plot cross correlation between two time series over nested time periods. Each point in either time series is for a week (not exactly a calendar week, but the first week in a calendar year always starts from Jan 1, and the other weeks in the same year follow that, and the last week of the year may contain more than 7 days but no more than 13 days).
The first time series A is stored in a compressed (.gz) text file, which looks like (each week and the corresponding time series value are separated by a comma in a line):
week,value
20060101-20060107,0
20060108-20060114,5
...
20061217-20061223,0
20061224-20061230,0
20070101-20070107,0
20070108-20070114,4
...
20150903-20150909,0
20150910-20150916,1
The second time series B is similarly stored in a compressed (.gz) text file, but over a subset of period of A, which looks like:
week,value
20130122-20130128,509
20130129-20130204,204
...
20131217-20131223,150
20131224-20131231,148.0
20140101-20140107,365.0
20140108-20140114,45.0
...
20150305-20150311,0
20150312-20150318,364
I wonder how to calculate the cross correlation between the two time series A and B (up to a specified maximum lag), and plot A and B in a single plot?
Thanks and regards,
Tim
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