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" o
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 nume
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
0.4
