[R] Confidence intervals in ccf()

[Gad Abraham]

Shruthi Jayaram wrote:
> Hi,
> 
> I have been running the ccf() function to find cross-correlations of time
> series across various lags. When I give the option of plot=TRUE, I get a
> plot that gives me 95% confidence interval cut-offs (based on sample
> covariances) for my cross-correlations at each lag. This gives me a sense of
> whether my cross-correlations are statistically significant or not. 
> 
> However, I am unable to get R to return the value of these critical values
> to me in say, an object or vector form. Would anyone be able to help me
> extract the critical values (at 95%) from the ccf() function? 
> 
> Thanks very much in advance,
> 
> Shruthi

I don't know if you can get it directly, but you can look at the code in 
  plot.acf using getAnywhere(plot.acf) to see how it's calculated.


-- 
Gad Abraham
Dept. CSSE and NICTA
The University of Melbourne
Parkville 3010, Victoria, Australia
email: gabraham at csse.unimelb.edu.au
web: http://www.csse.unimelb.edu.au/~gabraham