[R] Cross-correlation between two time series data

Spencer Graves spencer.graves at pdf.com
Mon Sep 4 18:05:12 CEST 2006

      'ccf' provides a plot with red, dashed lines indicating an 
approximate 95% threshold for the correlation. 

      Beyond that, with any particular model fit, you can get confidence 
intervals and anova tests for any particular parameter estimated. 

      If neither of these are adequate, I suppose one might be able to 
try Markov Chain Monte Carlo, but I've never used that, so I can't 
comment further on that. 

      If you would like more help from this listserve, please provide 
more detail of your application including commented, minimal, 
self-contained, reproducible code, explaining something you've tried and 
why it is not adequate (as suggested in the posting guide 

      Hope this helps. 
      Spencer Graves

Juni Joshi wrote:
>    Hi all,
>    I  have  two  time  series  data  (say  x  and  y). I am interested to
>    calculate the correlation between them and its confidence interval (or
>    to  test  no  correlation). Function cor.test(x,y) does the test of no
>    correlation. But this test probably is wrong because of autocorrelated
>    data.
>    ccf()  calculates the correlation between two series data. But it does
>    not  provide  the  confidence intervals of cross correlation. Is there
>    any  function  that  calculates the confidence interval of correlation
>    between  two  time  series data or performs the test of no correlation
>    between two time series data.
>    Thanks.
>    Jun
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> and provide commented, minimal, self-contained, reproducible code.

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