rtime-seriescorrelation

Finding lag at which cross correlation is maximum ccf( )

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?

Solution

  • Solution given by Vikrant Shimpi at the R-Help mailing list https://stat.ethz.ch/pipermail/r-help/2010-July/245607.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)
}