[R] Cross correlation between two time series over nested time periods?

[Tim]

Thanks!

Here the period of my time series B is a proper subinterval of the period of A.

Does ccf(A,B) requires A and B span the same period?

If A and B don't span the same period, what does ccf do?
When moving B along the period of A by a lag, does ccf(A,B) calculate the cross correlation between B and the part of A overlapping with B?
Or does ccf(A,B) calculate the cross correlation between A and the extension of B to the period of A by zero padding?

--------------------------------------------
On Thu, 5/14/15, Franklin Bretschneider <bretschr at xs4all.nl> wrote:

 Subject: Re: [R] Cross correlation between two time series over nested time periods?

 Date: Thursday, May 14, 2015, 6:14 AM


 On
 2015-05-14 , at 02:11, Tim via R-help <r-help at r-project.org>
 wrote:


 Hello Tim,


 Re:


 > I have two time series
 > 
 > 
 > Calculate and plot cross correlation
 between two time series over nested time periods. Each point
 in either time series is for a week (not exactly a calendar
 week, but the first week in a calendar year always starts
 from Jan 1, and the other weeks in the same year follow
 that, and the last week of the year may contain more than 7
 days but no more than 13 days).
 > 
 > The first time series A is stored in a
 compressed (.gz) text file, which looks like (each week and
 the corresponding time series value are separated by a comma
 in a line):
 > week,value
 > 20060101-20060107,0
 >
 20060108-20060114,5
 > ...
 > 20061217-20061223,0
 >
 20061224-20061230,0
 >
 20070101-20070107,0
 >
 20070108-20070114,4
 > ...
 > 20150903-20150909,0
 >
 20150910-20150916,1
 > 
 > The second time series B is similarly
 stored in a compressed (.gz) text file, but over a subset of
 period of A, which looks like:
 >
 week,value
 > 20130122-20130128,509
 > 20130129-20130204,204
 >
 ...
 > 20131217-20131223,150
 > 20131224-20131231,148.0
 > 20140101-20140107,365.0
 > 20140108-20140114,45.0
 > ...
 >
 20150305-20150311,0
 >
 20150312-20150318,364
 > 
 > I wonder how to calculate the cross
 correlation between the two time series A and B (up to a
 specified maximum lag), and plot A and B in a single plot?





 The auto- and crosscorrelation
 functions are in the stats package:

 acf(x, lag.max = NULL,
    
 type = c("correlation", "covariance",
 "partial"),
     plot = TRUE,
 na.action = na.fail, demean = TRUE, ...)

 ccf(x, y, lag.max = NULL, type =
 c("correlation", "covariance"),
     plot = TRUE, na.action = na.fail, ...)

 See further: ?ccf

 Succes and
 Best wishes,


 Frank
 ---



 Franklin Bretschneider
 Dept of
 Biology
 Utrecht University
 bretschr at xs4all.nl