On Mon, 2009-01-26 at 08:52 +, 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
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