From: Spencer Graves <spencer.graves_at_pdf.com>

Date: Mon 04 Sep 2006 - 23:00:44 GMT

R-help@stat.math.ethz.ch mailing list

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 09:21:02 2006

Date: Mon 04 Sep 2006 - 23:00:44 GMT

Best Wishes, Spencer

Andrew Robinson wrote:

*> Jun,
**>
*

> If your interest is to estimate the correlation and either a

*> confidence interval or a test for no correlation, then you might try
**> to proceed as follows. This is a Monte-Carlo significance test, and a
**> useful strategy.
**>
**> 1) use ccf() to compute the cross-correlation between x and y.
**>
**> 2) repeat the following steps, say, 1000 times.
**>
**> 2a) randomly reorder the values of one of the time series, say x.
**> Call the randomly reordered series x'.
**>
**> 2b) use ccf() to compute the cross-correlation between x' and y.
**> Store that cross-correlation.
**>
**> 3) the 1000 cross-correlation estimates computed in step 2 are all
**> estimating cross-correlation 0, conditional on the data. A
**> two-tailed test then is: if the cross-correlation computed in step
**> 1 is outside the (0.025, 0.975) quantiles of the empirical
**> distribution of the cross-correlations computed in step 2, then,
**> reject the null hypothesis that x and y are uncorrelated, with size
**> 0.05.
**>
**> I hope that this helps.
**>
**> Andrew
**>
**>
**> 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
**>> ______________________________________________
**>> R-help@stat.math.ethz.ch mailing list
**>> 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.
**>>
**>>
**>
**>
*

R-help@stat.math.ethz.ch mailing list

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 09:21:02 2006

Archive maintained by Robert King, hosted by
the discipline of
statistics at the
University of Newcastle,
Australia.

Archive generated by hypermail 2.1.8, at Thu 07 Sep 2006 - 07:51:18 GMT.

*
Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help.
Please read the posting
guide before posting to the list.
*