CODEWITHSUNDEEP
rtime-series
Arushi
Arushi

Reputation: 271

Get the Output of CCF in Matrix / data frame format

I am calculating cross correlation using prewhiten() in R. I want to export the output in matrix/ data frame format and for positive lag only . For example:

x<-c(12,14,22,23,25,26,28,30,32,27,36,44,22,15,8,18)
y<-c(1,2,5,2,4,4,5,6,8,9,10,3,4,8,8,9)
x_model<-auto.arima(x)
correlation<-prewhiten(x,y,x.model=x_model,plot=FALSE)
correlation$ccf

The output is not in data.frame or matrix format.

I want to have output in the following format:

Lag     CCF
0       0.063
1       0.263
3       0.192

and so on....

Upvotes: 0

Views: 1995

Answers (1)

nograpes
nograpes

Reputation: 18323

You could do:

data.frame(lag=correlation$ccf$lag, CCF=correlation$ccf$acf)

But, you can easily check how an object is structure with str, which will help you convert to the structure that you want:

str(correlation$ccf)
# List of 6
#  $ acf   : num [1:19, 1, 1] -0.1702 0.1041 -0.0985 0.1238 0.0107 ...
#  $ type  : chr "correlation"
#  $ n.used: int 16
#  $ lag   : num [1:19, 1, 1] -9 -8 -7 -6 -5 -4 -3 -2 -1 0 ...
#  $ series: chr "X"
#  $ snames: chr "x & y"
#  - attr(*, "class")= chr "acf"

Upvotes: 1

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