[R] Cross-Correlation function (CCF) issues

[manta]

Here you are
dput(do1[1:10])
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")
dput(dr1[1:10])
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")
dput(dr2[1:10])
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
>>
>>
>> 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.
>>>
>>
>> -- 
>> View this message in context:
>> http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23157961.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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