On Mon, 2009-01-26 at 08:52 +0000, Andreas Klein wrote: > Hello. > > How can I analyse the cross-correlation between two time series with ccf, if > one of the time series need to be differenced, so it is stationary? > The two time series differ when in length and maybe ccf produces not the > correct cross-correlation?! > > Another problem: > How can I model the two time series as an VARI-process with the dse package? > - > So how can I handle it, that one series has to be differenced and the other > series not? > > I hope you can give me some hints. > > > Regards, > Andreas.
Hi Andreas, If I understand your problem this script solve tour question t<-1:15 x<-rnorm(10) y<-.2-.3*t+rnorm(15) y.dif<-diff(y,1) ccf(x,y.dif) -- Bernardo Rangel Tura, M.D,MPH,Ph.D National Institute of Cardiology Brazil ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
