David.
On Apr 21, 2009, at 5:45 PM, manta wrote:
>
> The problem is that I was doing that for the tiny sample objects.
> So I really have no clue about
>
> David Winsemius wrote:
>>
>>
>> If you were doing that with the full sized do1 and dr1, then my guess
>> would be different data as the root cause. If you were doing this on
>> the tiny sample objects that I created from your dput output, then I
>> don't have an answer, since there were no missing values in those
>> objects.
>>
>> --
>> David Winsemius
>>
>>
>> On Apr 21, 2009, at 5:21 PM, manta wrote:
>>
>>>
>>> This is what I get.
>>>
>>>> ccf(do1,dr1)
>>> Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) :
>>> valore mancante nell'oggetto #italian translation of 'missing
>>> values in
>>> object'
>>>> ccf(do1,dr2)
>>> Errore in na.fail.default(ts.intersect(as.ts(x), as.ts(y))) :
>>> valore mancante nell'oggetto #italian translation of 'missing
>>> values in
>>> object'
>>>
>>> Could the problem be in a different version of the ccf function i
>>> have?
>>>
>>>
>>>
>>>
>>> David Winsemius wrote:
>>>>
>>>> When I remake those variables and try ccf(do1,dr1), the plot
>>>> appears
>>>> reasonable. What problem were you experiencing? It looks as though
>>>> your method of differencing (whatever it was) offset the date
>>>> registration of the zoo series in dr2, but ccf(do1, dr2) still
>>>> does
>>>> not appear to choke on that input.
>>>>
>>>> --
>>>> David
>>>>
>>>> On Apr 21, 2009, at 4:06 PM, manta wrote:
>>>>
>>>>> DW: Modifications of that output to reconstruct the series:
>>>>
>>>>>
>>>>> do1 <- structure(c(0.0800000000000018, 0.009999999999998,
>>>>> 0.170000000000002,
>>>>> -0.0300000000000011, 0, 0.629999999999999, -0.319999999999997,
>>>>> -0.430000000000003, -0.469999999999999, -0.359999999999999),
>>>>> index =
>>>>> structure(c(9497,
>>>>> 9498, 9499, 9500, 9503, 9504, 9505, 9506, 9507, 9510), class =
>>>>> "Date"),
>>>>> class = "zoo");
>>>>
>>>>>
>>>>> dr1 <- structure(c(0.000581439553993701, -0.00237250002417344,
>>>>> -0.00728359151384361,
>>>>> 0.00745364483017663, -0.000700422111259091, -0.00100249660582796,
>>>>> 0.00198943708754806, 0.000342959230417050, -0.00113732213621109,
>>>>> -0.00205039624417003), index = structure(c(9497, 9498, 9499,
>>>>> 9500, 9503, 9504, 9505, 9506, 9507, 9510), class = "Date"),
>>>>> class =
>>>>> "zoo");
>>>>
>>>>>
>>>>> dr2 <- structure(c(-0.00295393957816714, -0.00491109148967017,
>>>>> 0.0147372363440202,
>>>>> -0.00815406694143572, -0.000302074494568871, 0.00299193369337603,
>>>>> -0.00164647785713101, -0.00148028136662814, -0.000913074107958933,
>>>>> -0.00247839573899256), index = structure(c(9498, 9499, 9500,
>>>>> 9503, 9504, 9505, 9506, 9507, 9510, 9511), class = "Date"),
>>>>> class =
>>>>> "zoo")
>>>>
>>>>>
>>>>>
>>>>> total number of observations is 3393 for the original data set
>>>>> (i.e.
>>>>> for do1
>>>>> is 3392, for do2 is 3391 and so on)
>>>>>
>>>>>
>>>>>
>>>>> David Winsemius wrote:
>>>>>>
>>>>>> We still have an inadequate characterization of the data to answe
>>>>>> the
>>>>>> question ( as I remember it from yesterday). Missing, for
>>>>>> example, is
>>>>>> any information about lengths which would seem essential since
>>>>>> (as I
>>>>>> remember) you wantted to know why the result was so short. Why
>>>>>> not
>>>>>> put
>>>>>> in a full working example with an extract of the data. Suggest
>>>>>> you
>>>>>> try
>>>>>> using dput as a method of creating a working example. That way we
>>>>>> (and
>>>>>> the R interpreter) would get labels and class information.
>>>>>>
>>>>>> --
>>>>>> David Winsemius
>>>>>>
>>>>>> On Apr 21, 2009, at 10:56 AM, manta wrote:
>>>>>>
>>>>>>>
>>>>>>> Sorry, my bad, i did not mean to 'be mean'.
>>>>>>> Here are the first five observations for three variables (dr1,
>>>>>>> dr2
>>>>>>> and doil)
>>>>>>>
>>>>>>> dr1
>>>>>>> 1996-01-02 1996-01-03 1996-01-04 1996-01-05
>>>>>>> 1996-01-08
>>>>>>> 0.0005814396 -0.0023725000 -0.0072835915 0.0074536448
>>>>>>> -0.0007004221
>>>>>>>
>>>>>>> dr2
>>>>>>> 1996-01-03 1996-01-04 1996-01-05 1996-01-08
>>>>>>> 1996-01-09
>>>>>>> -0.0029539396 -0.0049110915 0.0147372363 -0.0081540669
>>>>>>> -0.0003020745
>>>>>>>
>>>>>>> do1
>>>>>>> 1996-01-02 1996-01-03 1996-01-04 1996-01-05 1996-01-08
>>>>>>> 0.08 0.01 0.17 -0.03 0.00
>>>>>>>
>>>>>>> As you can see, dr2 is nothing but the 1st difference of dr1. In
>>>>>>> my
>>>>>>> case,
>>>>>>> I'm trying to find out the cross-correlation between the two
>>>>>>> variables do1
>>>>>>> and dr1 up to their 10th lag (i.e. do1 with do2, do3, ...,
>>>>>>> do10,dr1,dr2,...,dr10, and the same for dr1).
>>>>>>>
>>>>>>> Hope it helps,
>>>>>>> Marco
>>>>>>>
>>>>
>>>>
>>>>>>> In response to "??"
>>>>
>>>>>>> David Winsemius wrote:
>>>>>>>>
>>>>>>>> Are you trying to imply that people should be able to answer a
>>>>>>>> question that included no data? As others have pointed out, our
>>>>>>>> powers of telepathy are generally less than commonly assumed.
>>>>>>>>
>>>>
>>>> David Winsemius, MD
>>>> Heritage Laboratories
>>>> West Hartford, CT
>>>>
>>>> ______________________________________________
>>>> R-help at 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.
>>>>
>>>>
>>>
>>> --
>>> View this message in context:
>>> http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23165218.html
>>> Sent from the R help mailing list archive at Nabble.com.
>>>
>>> ______________________________________________
>>> R-help at 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.
>>
>> David Winsemius, MD
>> Heritage Laboratories
>> West Hartford, CT
>>
>> ______________________________________________
>> R-help at 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.
>>
>>
>
> --
> View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23165521.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at 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.
David Winsemius, MD
Heritage Laboratories
West Hartford, CT