Hi. It's my understanding that a cross-correlation function of vectors x and y at lag zero is equivalent to their correlation (or covariance, depending on how the ccf is defined). If this is true, could somebody please explain why I get an inconsistent result between cov() and ccf(type = "covariance"), but a consistent result between cor() and ccf(type = "correlation")? Or have I misunderstood what is a cross-correlation? (unfortunately, I can't seem to get a look at the ccf code, since I think it's buried in some C function outside of the main environment)
Thanks very much. --Bob Farmer PhD candidate, Dalhousie University Halifax, NS, Canada Example: d1<-data.frame(matrix(ldeaths, nrow = 6, byrow = T)) seventy_4<-as.numeric(d1[1,]) seventy_5<-as.numeric(d1[2,]) ccf(x=seventy_4, y=seventy_5, plot = F, lag.max = 0, type = "covariance" ) cov(seventy_4, seventy_5) #inconsistent ccf(x=seventy_4, y=seventy_5, plot = F, lag.max = 0, type = "correlation" ) cor(seventy_4, seventy_5) #consistent ______________________________________________ R-help@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.
