?pacf
On 11-Mar-11, at 9:42 AM, Kevin Boggs wrote:
Does anyone know of any R code for computing partial cross-
correlation? I have examples of cross correlation functions (ccfs)
that are not smooth but rather consist of a peak of several high
values in consecutive lags, with sharp drops on either side. This
indicates that y(t) is a function of some average of x(t-tau) at
the set of lags tau over which the ccf is high. I could sort out
these behaviors more precisely with ccf and partial ccf. I just
don't know how to compute the partial ccf in R.
Thanks,
Kevin
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