On Wed, 23 Apr 2008, Bob Farmer wrote: > 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).
The ratio of your values is > MASS::fractions(282568.5/259021) [1] 12/11 ? Do you recognize it? There is an explanation in MASS4, p. 390, for example. > 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) It is in the R sources, not 'buried' at all - that is what 'Open Source' means. You can browse them at https://svn.r-project.org/R/trunk, or download them for study. > 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. > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ 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.
