[R] CCF and missing values.

[Peter Ehlers]

On 2011-01-19 08:48, Paul Ossenbruggen wrote:
> Hi,
>
> 	I have missing values in my time series. "na.action = na.pass" works for acf and pacf. Why do I get the following error for the ccf?
>
>
>> ts(matrix(c(dev$u[1:10],dev$q[1:10]),ncol=2),start=1,freq=1)
> Time Series:
> Start = 1
> End = 10
> Frequency = 1
>     Series 1 Series 2
>   1 68.00000 138.4615
>   2 70.00000 355.5556
>   3 68.76000 304.3200
>   4 68.00000 231.4286
>   5 69.74194 357.4963
>   6       NA       NA
>   7 67.45455 174.8697
>   8 66.00000 144.0000
>   9 73.50000 287.6471
> 10 70.00000 172.6027
>
>
>> ccf(x = ts.data[,1], y = ts.data[,2], na.action = na.pass, ylab = "CCF")
> Error in na.fail.default(as.ts(x)) : missing values in object
>

I can see two possible solutions:
1. Use na.action = na.contiguous (see ?na.contiguous)
2. Modify ccf(). Make a copy and replace the line

   acf.out <- acf(X, lag.max = lag.max, plot = FALSE, type = type)

with

   acf.out <- acf(X, lag.max = lag.max, plot = FALSE, type = type,
                  na.action = na.action)

I think this may be a bug in ccf().

Peter Ehlers