The S-PLUS acf function does this for you, so why not use it?
You will need to align your two series, e.g. by ts.intersect.
Example (uses the MASS library)
library(MASS)
x <- ts.intersect(mdeaths, fdeaths)
xx <- acf(x, plot=F)
dat <- c(rev(xx$acf[-1, 1, 2]), xx$acf[, 2, 1])
names(dat) <- round(c(rev(xx$lag[-1, 1, 2]), xx$lag[, 2, 1]),3)
dat
(Tested under S-PLUS 6.2, but I think will work under earlier versions.)
Those scripts are for a different task, confidence intervals.
On Thu, 29 Apr 2004, Wayne E Thogmartin wrote:
> I'd like to calculate the cross-correlation between 2 time series. To
> date, I've been using scripts from
> http://www.stat.rutgers.edu/~rebecka/Spluscode/Splus.html. My problem is
> that I'd like to extract the values of the cross-correlation at each lag,
> but have yet to figure out how to do that. My amendments to the scripts
> have yet to allow me to pull out the cross-correlation coefficients.
>
> Any notions (other than that I'm a bit beyond my element)?
--
Brian D. Ripley, ripley@stats.ox.ac.uk
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
|