[R] Cross-correlation between two time series data

From: Juni Joshi <joshi_juni_at_hotmail.com>
Date: Wed 30 Aug 2006 - 15:47:49 EST

   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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