找出互相关最大的滞后 ccf( ) [英] Finding lag at which cross correlation is maximum ccf( )

问题描述

我有 2 个时间序列，我正在使用 ccf 来查找它们之间的互相关性.ccf(ts1, ts2) 列出所有时间滞后的互相关.如何在不手动查看数据的情况下找到导致最大相关性的滞后?

I have 2 time series and I am using ccf to find the cross correlation between them. ccf(ts1, ts2) lists the cross-correlations for all time lags. How can I find the lag which results in maximum correlation without manually looking at the data?

推荐答案

发布答案 http://r.789695.n4.nabble.com/ccf-function-td2288257.html

Find_Max_CCF<- function(a,b)
{
 d <- ccf(a, b, plot = FALSE)
 cor = d$acf[,,1]
 lag = d$lag[,,1]
 res = data.frame(cor,lag)
 res_max = res[which.max(res$cor),]
 return(res_max)
} 

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