Cross-Correlation function (CCF) issues

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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
>
>
> 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.
>>
>
> -- 
> View this message in context: http://www.nabble.com/Cross-Correlation-function-%28CCF%29-issues-tp23145411p23157961.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

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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

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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

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.

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