[R] CCF for hourly time series?

Katharina Appel KAJOAP at gmx.de
Wed Aug 12 16:15:36 CEST 2009


I have a dataframe containing various time series (not time series objects though!)with hourly time steps. I´d like to perform ccf for I need to know the correlation factors for different lags. 
Here is an example:

x<-as.POSIXct(c("2008-12-25 16:00:00", "2008-12-25 17:00:00", "2008-12-25 18:00:00", "2008-12-25 19:00:00", "2008-12-25 20:00:00","2008-12-25 21:00:00"))
y<-c(NA, 1.5,3,7, 1, 0.1)

that gives me "error in na.fail.default(as.ts(x)):missing values in object"
In order to create the data frame I already intersected different time series so I know that the timeindex is the same for all rows and missing values were replaced by NA. 
Does that already impede creating a ts-object? 
Is there another possibility to perform the cross-correlation?

Thanks in advance,
Katharina Appel
Große Weinmeisterstraße 30
14469 Potsdam

Tel.: 0331-2370828
e-mail: Kajoap at gmx.de

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