[R] query

From: Fluss <rfluss_at_netvision.net.il>
Date: Mon 08 Jan 2007 - 13:17:38 GMT


Hello!
I found the ccf function gives different estimates than the simple lag correlations. Why is that?
This is my code:

set.seed(20)
x<-rnorm(20)
y<-x+rnorm(20,sd=0.3)
print("R CCF:")
print(ccf(x,y,lag.max=2,plot=F))
myccf<- c( cor(y[-(1:2)],x[-(19:20)]) , cor(y[-1],x[-20]),

                   cor(y,x),
                   cor(x[-1],y[-20]),cor(x[-(1:2)],y[-(19:20)]) )
print("My CCF:")
print(myccf)

Thank You!
Ron

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