Thanks! Here the period of my time series B is a proper subinterval of the period of A.
Does ccf(A,B) requires A and B span the same period? If A and B don't span the same period, what does ccf do? When moving B along the period of A by a lag, does ccf(A,B) calculate the cross correlation between B and the part of A overlapping with B? Or does ccf(A,B) calculate the cross correlation between A and the extension of B to the period of A by zero padding? -------------------------------------------- On Thu, 5/14/15, Franklin Bretschneider <brets...@xs4all.nl> wrote: Subject: Re: [R] Cross correlation between two time series over nested time periods? Date: Thursday, May 14, 2015, 6:14 AM On 2015-05-14 , at 02:11, Tim via R-help <r-help@r-project.org> wrote: Hello Tim, Re: > I have two time series > > > Calculate and plot cross correlation between two time series over nested time periods. Each point in either time series is for a week (not exactly a calendar week, but the first week in a calendar year always starts from Jan 1, and the other weeks in the same year follow that, and the last week of the year may contain more than 7 days but no more than 13 days). > > The first time series A is stored in a compressed (.gz) text file, which looks like (each week and the corresponding time series value are separated by a comma in a line): > week,value > 20060101-20060107,0 > 20060108-20060114,5 > ... > 20061217-20061223,0 > 20061224-20061230,0 > 20070101-20070107,0 > 20070108-20070114,4 > ... > 20150903-20150909,0 > 20150910-20150916,1 > > The second time series B is similarly stored in a compressed (.gz) text file, but over a subset of period of A, which looks like: > week,value > 20130122-20130128,509 > 20130129-20130204,204 > ... > 20131217-20131223,150 > 20131224-20131231,148.0 > 20140101-20140107,365.0 > 20140108-20140114,45.0 > ... > 20150305-20150311,0 > 20150312-20150318,364 > > I wonder how to calculate the cross correlation between the two time series A and B (up to a specified maximum lag), and plot A and B in a single plot? The auto- and crosscorrelation functions are in the stats package: acf(x, lag.max = NULL, type = c("correlation", "covariance", "partial"), plot = TRUE, na.action = na.fail, demean = TRUE, ...) ccf(x, y, lag.max = NULL, type = c("correlation", "covariance"), plot = TRUE, na.action = na.fail, ...) See further: ?ccf Succes and Best wishes, Frank --- Franklin Bretschneider Dept of Biology Utrecht University brets...@xs4all.nl ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see 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.