Prezados colegas, estou a trabalhar com varias series temporais >library(astsa) e library(TSA); -no meu R version 2.13.1 (2011-07-08) no SO Windows7 64bit- tenho a seguinte dúvida, quando aplico a função ccf entre duas series, que devo fazer com os Na´s nesta função:
1.- na.action = na.pass ou 2.- na.action = na.contiguous estive a revisar a informação de ajuda da função ccf e encontrei isto : 'By default, no missing values are allowed. If the na.action function passes through missing values (as na.pass does), the covariances are computed from the complete cases. This means that the estimate computed may well not be a valid autocorrelation sequence, and may contain missing values. Missing values are not allowed when computing the PACF of a multivariate time series.' se comprendí bem a explicação, não devo usar na.pass devido a que estaria a estimar uma sequencia de correlações NÂO CONTINUA? com possiveis 'missing values' ou na.pass daria jeito porque estaria so a estimar aquelas que apresentan valores? e os lags vão a corresponder a cada intervalo de tempo na que se encontra minhas series (depasso seja dito são valores mensais)? Bom, adjunto aqui un ficheiro com varias duas series, OCTOPUS e PLOBO (ficheiro -> 'duvida.csv' , como podem ver, PLOBO apresenta internals NAs, eu fiz a ccf com cada na.action para ver o correlograma, e apresenta diferenças enormes! alguma dica? #scripts para visualizar o problema (duvida) OCT<- ts(duvida$OCTOPUS, start = c(1990,1), freq=12) PLOBO <- ts(duvida$PLOBO, start = c(1990,1), freq=12) ccf(PLOBO, OCTOPUS) ccf(PLOBO, OCTOPUS, na.action = na.pass) ccf(PLOBO, OCTOPUS, na.action = na.contiguous) muito obrigado Carlos -- Carlos A. Pombo Sonderblohm PhD Student on Marine Science (Fisheries) Faculdade de Ciências e Tecnología Universidade do Algarve, Campus de Gambelas 8005-139 Faro Portugal Tef. 289 800 905 ext. 7605
ID,Year,Month,OCTOPUS,PLOBO 1,1990,1,131.028,NA 2,1990,2,81.63,NA 3,1990,3,68.1325,NA 4,1990,4,51.217,NA 5,1990,5,43.3735,NA 6,1990,6,36.804,NA 7,1990,7,48.9415,NA 8,1990,8,36.327,NA 9,1990,9,17.1955,NA 10,1990,10,17.857,40423 11,1990,11,25.397,114899 12,1990,12,26.6975,68413 13,1991,1,29.0505,65471 14,1991,2,41.293,215157 15,1991,3,52.324,776800 16,1991,4,36.286,69244 17,1991,5,35.3315,32423 18,1991,6,66.2123,30747 19,1991,7,99.7955,29065 20,1991,8,122.128,35492 21,1991,9,107.673,36987 22,1991,10,114.319,30894 23,1991,11,87.543,27074 24,1991,12,108.5115,31502 25,1992,1,100.2205,28113 26,1992,2,122.091,25090 27,1992,3,106.669,18673 28,1992,4,90.623,19722 29,1992,5,114.2605,8828 30,1992,6,122.691,46051 31,1992,7,181.972,16519 32,1992,8,125.0165,26127 33,1992,9,66.6635,25161 34,1992,10,49.2525,27595 35,1992,11,49.7395,23187 36,1992,12,52.4415,65620 37,1993,1,72.639,22265 38,1993,2,49.2175,23327 39,1993,3,68.6127,21654 40,1993,4,59.4351,5608 41,1993,5,57.6737,20787 42,1993,6,89.4519,11451 43,1993,7,78.2896,889 44,1993,8,66.2852,4056 45,1993,9,49.049,4595 46,1993,10,73.2256,43951 47,1993,11,114.2575,289863 48,1993,12,84.6452,35213 49,1994,1,84.8327,112900 50,1994,2,77.8444,73999 51,1994,3,145.7764,181082 52,1994,4,71.8359,12513 53,1994,5,102.9585,9219 54,1994,6,142.9947,12284 55,1994,7,129.3853,2200 56,1994,8,114.4913,706 57,1994,9,64.3297,2253 58,1994,10,70.6489,18933 59,1994,11,64.9684,21433 60,1994,12,95.7062,NA 61,1995,1,78.2063,14795 62,1995,2,66.2643,30905 63,1995,3,68.7846,6061 64,1995,4,60.0178,NA 65,1995,5,42.6158,NA 66,1995,6,35.745,76 67,1995,7,54.9064,0 68,1995,8,75.7282,0 69,1995,9,81.6278,0 70,1995,10,137.3048,0 71,1995,11,202.2927,24459 72,1995,12,136.6688,678812 73,1996,1,182.7067,4101609 74,1996,2,223.8333,871105 75,1996,3,140.5279,208141 76,1996,4,123.585,62805 77,1996,5,109.3931,123292 78,1996,6,91.2747,17145 79,1996,7,100.445,14820 80,1996,8,60.1678,17670 81,1996,9,45.2091,33411 82,1996,10,42.7577,35780 83,1996,11,39.2282,36805 84,1996,12,32.0991,1287693 85,1997,1,59.4846,3369864 86,1997,2,60.8886,486541 87,1997,3,50.5255,NA 88,1997,4,55.1978,43210 89,1997,5,30.7307,NA 90,1997,6,42.221,53932 91,1997,7,68.7926,NA 92,1997,8,75.8021,NA 93,1997,9,82.2478,59629 94,1997,10,96.4718,70782 95,1997,11,70.8933,1987526 96,1997,12,82.1351,2279714 97,1998,1,63.7479,1445163 98,1998,2,45.9886,2677002 99,1998,3,56.9977,248074 100,1998,4,46.7254,66513 101,1998,5,35.4036,168740 102,1998,6,35.0345,70209 103,1998,7,44.9607,39251 104,1998,8,42.6761,55687 105,1998,9,35.2084,99779 106,1998,10,32.7775,107978 107,1998,11,35.8856,116966 108,1998,12,37.7538,92078 109,1999,1,74.2615,46594 110,1999,2,47.4943,27142 111,1999,3,69.2142,38275 112,1999,4,49.2994,22227 113,1999,5,59.6821,38260 114,1999,6,69.8452,9522 115,1999,7,90.8457,9831 116,1999,8,76.0984,25942 117,1999,9,84.1843,32720 118,1999,10,93.3335,233623 119,1999,11,144.1313,83732 120,1999,12,159.0779,43223 121,2000,1,140.5952,42631 122,2000,2,182.7028,43527 123,2000,3,223.2672,20579 124,2000,4,205.5482,179035 125,2000,5,161.1415,343058 126,2000,6,144.1362,17233 127,2000,7,132.9187,23943 128,2000,8,103.6131,26594 129,2000,9,54.6659,36695 130,2000,10,47.7232,36158 131,2000,11,54.0115,30296 132,2000,12,93.9155,NA 133,2001,1,131.6795,NA 134,2001,2,91.6062,1931058 135,2001,3,108.0565,NA 136,2001,4,54.9187,NA 137,2001,5,56.092,54226 138,2001,6,93.4299,7671 139,2001,7,90.9352,6933 140,2001,8,76.7764,8000 141,2001,9,53.3376,13968 142,2001,10,63.024,153263 143,2001,11,98.141,101796 144,2001,12,84.1703,54317 145,2002,1,113.2948,145695 146,2002,2,110.4862,26160 147,2002,3,89.4025,122926 148,2002,4,106.9801,198281 149,2002,5,70.899,22173 150,2002,6,75.5811,7150 151,2002,7,86.6526,20109 152,2002,8,52.6388,18267 153,2002,9,36.0128,10113 154,2002,10,40.9026,10400 155,2002,11,61.4729,11904 156,2002,12,69.379,149502 157,2003,1,81.9516,128301 158,2003,2,68.883,245454 159,2003,3,67.5712,280876 160,2003,4,91.0968,220158 161,2003,5,98.9779,25878 162,2003,6,102.0172,2546 163,2003,7,76.0254,3307 164,2003,8,76.9924,10649 165,2003,9,44.4673,13972 166,2003,10,39.9472,34712 167,2003,11,64.9062,183523 168,2003,12,55.487,233060 169,2004,1,65.8479,73784 170,2004,2,65.858,265447 171,2004,3,86.3619,133831 172,2004,4,62.8888,83780 173,2004,5,55.9764,96860 174,2004,6,55.3032,44340 175,2004,7,41.3913,31807 176,2004,8,24.1412,27880 177,2004,9,20.6227,69517 178,2004,10,62.1254,97311 179,2004,11,113.1892,138985 180,2004,12,151.8206,107489 181,2005,1,189.6918,127892 182,2005,2,158.3023,73317 183,2005,3,214.5388,31184 184,2005,4,302.6888,40882 185,2005,5,302.0527,41234 186,2005,6,285.2526,30325 187,2005,7,193.6654,40333 188,2005,8,122.5688,32344 189,2005,9,230.5791833,34018 190,2005,10,265.8744,35859 191,2005,11,293.682,48228 192,2005,12,222.4319,47689 193,2006,1,189.9407,63946 194,2006,2,165.0519,69177 195,2006,3,173.6971,56366 196,2006,4,132.3121,83614 197,2006,5,152.7595,43013 198,2006,6,198.7893,58483 199,2006,7,168.5232,60413 200,2006,8,111.6553,59354 201,2006,9,60.5799,39664 202,2006,10,65.3169,110362 203,2006,11,136.811,255903 204,2006,12,110.0076,151729 205,2007,1,110.2735,109320 206,2007,2,52.0092,121841 207,2007,3,43.4249,123152 208,2007,4,47.4838,114214 209,2007,5,43.5072,109411 210,2007,6,48.9723,82757 211,2007,7,54.6877,33067 212,2007,8,41.4687,88331 213,2007,9,67.5177,105154 214,2007,10,517.0521,128491 215,2007,11,716.7554,51741 216,2007,12,372.1775,54614 217,2008,1,644.7987,51582 218,2008,2,419.9283,NA 219,2008,3,431.1643,33884 220,2008,4,434.9969,38701 221,2008,5,369.0937,43724 222,2008,6,286.4909,31096 223,2008,7,318.9444,34484 224,2008,8,166.2475,21286 225,2008,9,89.4306,17049 226,2008,10,73.4679,25229 227,2008,11,105.652,50564 228,2008,12,109.958,NA 229,2009,1,148.3134,NA 230,2009,2,157.1114,143357 231,2009,3,128.5512,54724 232,2009,4,114.4456,47892 233,2009,5,98.1699,22577 234,2009,6,174.3079,20066 235,2009,7,144.7688,11011 236,2009,8,123.05,24886 237,2009,9,195.9544,22491 238,2009,10,192.034,26565 239,2009,11,190.4816,33000 240,2009,12,123.3518,34760 241,2010,1,339.9312,NA 242,2010,2,146.1443,NA 243,2010,3,293.6099,NA 244,2010,4,126.0845,NA 245,2010,5,100.8918,NA 246,2010,6,82.099,NA 247,2010,7,81.4163,NA 248,2010,8,102.6278,NA 249,2010,9,117.0567,NA 250,2010,10,97.768,NA 251,2010,11,95.1875,NA 252,2010,12,85.2613,NA
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