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CCF and missing values.
3 messages · Paul Ossenbruggen, Peter Ehlers, stoffer@pitt.edu
On 2011-01-19 08:48, Paul Ossenbruggen wrote:
Hi, I have missing values in my time series. "na.action = na.pass" works for acf and pacf. Why do I get the following error for the ccf?
ts(matrix(c(dev$u[1:10],dev$q[1:10]),ncol=2),start=1,freq=1)
Time Series:
Start = 1
End = 10
Frequency = 1
Series 1 Series 2
1 68.00000 138.4615
2 70.00000 355.5556
3 68.76000 304.3200
4 68.00000 231.4286
5 69.74194 357.4963
6 NA NA
7 67.45455 174.8697
8 66.00000 144.0000
9 73.50000 287.6471
10 70.00000 172.6027
ccf(x = ts.data[,1], y = ts.data[,2], na.action = na.pass, ylab = "CCF")
Error in na.fail.default(as.ts(x)) : missing values in object
I can see two possible solutions:
1. Use na.action = na.contiguous (see ?na.contiguous)
2. Modify ccf(). Make a copy and replace the line
acf.out <- acf(X, lag.max = lag.max, plot = FALSE, type = type)
with
acf.out <- acf(X, lag.max = lag.max, plot = FALSE, type = type,
na.action = na.action)
I think this may be a bug in ccf().
Peter Ehlers
combine them and then use acf: x <- ts(rnorm(10)) y <- ts(x+ rnorm(10)) u <- ts.union(x, y) (acf(u, na.action=na.pass)) I don't know if it's correct, but it gives an answer... I'm too afraid to check if it's correct.
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