Thank you Gabor, by the way I have checked in the Matlab GARCH toolbox, the crosscorrelation function is reversed with respect to R, I think it would be useful for the users to have documented the way CCF is computed.
Simone On 10/2/06, Gabor Grothendieck <[EMAIL PROTECTED]> wrote: > Using "ts" objects these can be written in the following consistent > manner: > > > sum(ts(x) * lag(ts(x)) / sum(ts(x)^2)) > [1] -0.2648633 > > > sum(ts(x) * lag(ts(y)) / sqrt(sum(ts(y)^2) * sum(ts(x)^2))) > [1] 0.5930216 > > On 10/2/06, Simone Giannerini <[EMAIL PROTECTED]> wrote: > > Dear all, > > > > given two numeric vectors x and y, the ACF(x) at lag k is > > cor(x(t),x(t+k)) while the CCF(x,y) at lag k is cor(x(t),y(t-k)). See > > below for a simple example. > > > > > set.seed(1) > > > x <- rnorm(10) > > > y <- rnorm(10) > > > x > > [1] -0.6264538 0.1836433 -0.8356286 1.5952808 0.3295078 -0.8204684 > > 0.4874291 0.7383247 0.5757814 -0.3053884 > > > y > > [1] 1.51178117 0.38984324 -0.62124058 -2.21469989 1.12493092 > > -0.04493361 -0.01619026 0.94383621 0.82122120 0.59390132 > > > x <- x - mean(x); > > > y <- y -mean(y); > > > > ## ACF OF x(t) > > > print(acf(x,lag=2,plot=F),digits=5)) > > > > Autocorrelations of series 'x', by lag > > > > 0 1 2 > > 1.00000 -0.26486 -0.25352 > > > > ## For Instance ACF(x) at lag 1 is Corr(x(t),x(t+1)): > > > > > sum(x[1:9]*x[2:10])/sum(x^2) > > [1] -0.2648633 > > > > ## whereas CCF(x,y) at lag 1 is Corr(x(t),y(t-1)) > > > ccf(x,y,lag=2,plot=F) > > > > Autocorrelations of series 'X', by lag > > > > -2 -1 0 1 2 > > -0.139 0.593 -0.377 -0.382 0.116 > > > > > sum(x[1:9]*y[2:10])/sqrt(sum(x^2)*sum(y^2)) > > > > [1] 0.5930216 > > > > > sum(x[2:10]*y[1:9])/sqrt(sum(x^2)*sum(y^2)) > > [1] -0.3822885 > > > > from a quick survey on textbooks (Brockwell and Davis, Chatfield, > > Fuller) it looks like different authors use different conventions so > > that I think that it would be nice to clarify this in the > > documentation. > > > > Ciao > > > > Simone > > > > > R.version > > _ > > platform i386-pc-mingw32 > > arch i386 > > os mingw32 > > system i386, mingw32 > > status beta > > major 2 > > minor 4.0 > > year 2006 > > month 09 > > day 20 > > svn rev 39421 > > language R > > version.string R version 2.4.0 beta (2006-09-20 r39421) > > > > > Sys.getlocale() > > [1] "LC_COLLATE=English_United States.1252;LC_CTYPE=English_United > > States.1252;LC_MONETARY=English_United > > States.1252;LC_NUMERIC=C;LC_TIME=English_United States.1252" > > > > > > ______________________________________________________ > > > > Simone Giannerini > > Dipartimento di Scienze Statistiche "Paolo Fortunati" > > Universita' di Bologna > > Via delle belle arti 41 - 40126 Bologna, ITALY > > Tel: +39 051 2098262 Fax: +39 051 232153 > > > > ______________________________________________ > > R-devel@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-devel > > > -- ______________________________________________________ Simone Giannerini Dipartimento di Scienze Statistiche "Paolo Fortunati" Universita' di Bologna Via delle belle arti 41 - 40126 Bologna, ITALY Tel: +39 051 2098262 Fax: +39 051 232153 ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel