From: Jan Verbesselt <Jan.Verbesselt_at_biw.kuleuven.be>

Date: Mon 31 Oct 2005 - 19:58:52 EST

Ir. Jan Verbesselt

Research Associate

Biosystems Department ~ M³-BIORES

Vital Decosterstraat 102, 3000 Leuven, Belgium Tel: +32-16-329750 Fax: +32-16-329760

http://gloveg.kuleuven.ac.be/

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 Received on Mon Oct 31 20:21:42 2005

Date: Mon 31 Oct 2005 - 19:58:52 EST

Dear R-help,

How could a cross-correlation plot be optimized such that the relationship between seasonal time-series can be studied?

We are working with strong seasonal time-series and derived a cross-correlation plot to study the relationship between time-series. The seasonal variation however strongly influences the cross-correlation plot and the plot seems to be “rather” symmetrical (max cross-correlation coefficient occurs at lag 0). We would like to visualize the deviation from the symmetrical shape such that the relationship between these two time series can be studied. How can the symmetry be investigated by using a cross-corr. plot (ccf())?

We tried the following:

cross <- ccf(TS1, int.TS2, main= "")

# produce the standard shape by correlating TS1 with TS1

test <- ccf(TS1, TS1)

# add the standard shape on the cross-correlation plot of TS1 with TS2

plot(cross)

par(new = T)

plot(test$lag, test$acf, axes=F, xlab="", ylab="", col=2)

Is there another technique to visualize the difference from the symmetrical shape? Is ts1 lagged vs. ts2?

Jan

(*Version R 2.2)

Ps. -We tried also ccf() after differencing and decompositioning but seasonality remains in the residuals.

-max cross-correlation mostly occurs at lag 0.

Ir. Jan Verbesselt

Research Associate

Biosystems Department ~ M³-BIORES

Vital Decosterstraat 102, 3000 Leuven, Belgium Tel: +32-16-329750 Fax: +32-16-329760

http://gloveg.kuleuven.ac.be/

Disclaimer: http://www.kuleuven.be/cwis/email_disclaimer.htm

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 Received on Mon Oct 31 20:21:42 2005

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