Re: [R] Need help for calculating cross-correlation between 4 multivariate time series data

From: David Stoffer <dsstoffer_at_gmail.com>
Date: Wed, 05 Mar 2008 12:16:21 -0800 (PST)

You can use acf(), but it will be messy and the labeling of the plots is confusing and perhaps misleading... check out issue number 4 at http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm

I would recommend setting up a grid of the ccfs and you could automate this (i.e., write a loop) if need be.

sandeep jose joseph wrote:
>
> Hi all,
> I would like to know whether there is any function in R were i
> can
> find the cross-correlation of two or more multivariate (time series) data.
> I
> tried the function ccf() but it seems like to have two univariate
> datasets.
> Please let me know.
> sincerely,
> sandeep
>
> --
> Sandeep Joseph PhD
> Post Doctoral Associate
> Center for Tropical & Emerging Global Diseases
> Paul D. Coverdell Center, Rm 335A
> 500 D. W. Brooks Drive
> Athens, GA 30602-7394
> ph 404-578-6790
>
> 2091 south Miledge Ave
> Apt A6, Athens,
> GA-30605.
> phone: 706-850-0056
>
> [[alternative HTML version deleted]]
>
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The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw
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