Re: [R] Cross-correlation between two time series data

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Mon 04 Sep 2006 - 16:05:12 GMT

      'ccf' provides a plot with red, dashed lines indicating an approximate 95% threshold for the correlation.

      Beyond that, with any particular model fit, you can get confidence intervals and anova tests for any particular parameter estimated.

      If neither of these are adequate, I suppose one might be able to try Markov Chain Monte Carlo, but I've never used that, so I can't comment further on that.

      If you would like more help from this listserve, please provide more detail of your application including commented, minimal, self-contained, reproducible code, explaining something you've tried and why it is not adequate (as suggested in the posting guide "www.R-project.org/posting-guide.html").

      Hope this helps. 
      Spencer Graves

Juni Joshi wrote:
> Hi all,
>
> I have two time series data (say x and y). I am interested to
> calculate the correlation between them and its confidence interval (or
> to test no correlation). Function cor.test(x,y) does the test of no
> correlation. But this test probably is wrong because of autocorrelated
> data.
>
> ccf() calculates the correlation between two series data. But it does
> not provide the confidence intervals of cross correlation. Is there
> any function that calculates the confidence interval of correlation
> between two time series data or performs the test of no correlation
> between two time series data.
>
> Thanks.
>
> Jun
> ______________________________________________
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> 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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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. Received on Tue Sep 05 02:07:49 2006

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