[R] cross correlation of filtered Time series

Giorgio Garziano giorgio.garziano at ericsson.com
Wed Jan 13 09:20:26 CET 2016


I used frequency=60 to make it quickly work in order to show some sample code.
About the frequency parameter in time series, i.e. ts() stats package,  you may take a look at:

http://stats.stackexchange.com/questions/120806/frequency-value-for-seconds-minutes-intervals-data-in-r

corenv() f parameter unit measure is Hertz as seewave use case is about time waves.
About the corenv() results based on your data, I do not have the chance to investigate further.

Best,

--
GG

-----Original Message-----
From: Sudheer Joseph [mailto:sjo at incois.gov.in] 
Sent: mercoledì 13 gennaio 2016 06:11
To: Giorgio Garziano; r-help at r-project.org
Subject: RE: [R] cross correlation of filtered Time series

Thank you,
                 May I know the reason for keeping frequency as 60, the package says  it expects frequency in hertz, how does it work if I input daily data?. The correlation max shown by the plot is at around 55 -ve lag (0.36). which is not the actual case, so there is some thing which I am not understanding in this case.
With best regards,
Sudheer




________________________________________
From: Giorgio Garziano [giorgio.garziano at ericsson.com]
Sent: Tuesday, January 12, 2016 9:38 PM
To: r-help at r-project.org
Cc: Sudheer Joseph
Subject: Re: [R] cross correlation of filtered Time series

Hello,

I think that the package "seewave" may help you. See corenv() function.

https://cran.r-project.org/web/packages/seewave/seewave.pdf


library(seewave)
sst.ts <- ts(dc$sst, frequency=60)
t2m.ts <- ts(dc$t2m, frequency=60)
corenv(sst.ts, t2m.ts)
corenv.res <- corenv(sst.ts, t2m.ts, plot=FALSE) corenv.res

Best,

--
GG





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