[R] Confidence intervals in ccf()

[Shruthi Jayaram]

Hi,

I have been running the ccf() function to find cross-correlations of time
series across various lags. When I give the option of plot=TRUE, I get a
plot that gives me 95% confidence interval cut-offs (based on sample
covariances) for my cross-correlations at each lag. This gives me a sense of
whether my cross-correlations are statistically significant or not.

However, I am unable to get R to return the value of these critical values
to me in say, an object or vector form. Would anyone be able to help me
extract the critical values (at 95%) from the ccf() function?

Thanks very much in advance,

Shruthi

[Gad Abraham]

Post by Shruthi Jayaram
Hi,
I have been running the ccf() function to find cross-correlations of time
series across various lags. When I give the option of plot=TRUE, I get a
plot that gives me 95% confidence interval cut-offs (based on sample
covariances) for my cross-correlations at each lag. This gives me a sense of
whether my cross-correlations are statistically significant or not.
However, I am unable to get R to return the value of these critical values
to me in say, an object or vector form. Would anyone be able to help me
extract the critical values (at 95%) from the ccf() function?
Thanks very much in advance,
Shruthi

I don't know if you can get it directly, but you can look at the code in
plot.acf using getAnywhere(plot.acf) to see how it's calculated.

[David Winsemius]

ccf passes its results to acf which than passes to plot.acf, an
invisible function which can be made visible by the ":::" device:

stats:::plot.acf

plot.acf is where the CI get calculated and plotted.
--
David Winsemius

Post by Shruthi Jayaram
Hi,
I have been running the ccf() function to find cross-correlations of time
series across various lags. When I give the option of plot=TRUE, I get a
plot that gives me 95% confidence interval cut-offs (based on sample
covariances) for my cross-correlations at each lag. This gives me a sense of
whether my cross-correlations are statistically significant or not.
However, I am unable to get R to return the value of these critical values
to me in say, an object or vector form. Would anyone be able to help me
extract the critical values (at 95%) from the ccf() function?
Thanks very much in advance,
Shruthi
--
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