R: Auto And/Or Cross Correlations via FFT

fftcor {timsac} | R Documentation

## Auto And/Or Cross Correlations via FFT

### Description

Compute auto and/or cross covariances and correlations via FFT.

### Usage

      fftcor(y, lag=NULL, isw=4, plot=TRUE, lag_axis=TRUE)

### Arguments

`y` | data of channel X and Y (data of channel Y is given for `isw` = 2 or 4 only).
`lag` | maximum lag. Default is 2*sqrt(n), where n is the length of the time series `y`.
`isw` | numerical flag giving the type of computation.
1 : | auto-correlation of X (one-channel)
2 : | auto-correlations of X and Y (two-channel)
4 : | auto- and cross- correlations of X and Y (two-channel)
`plot` | logical. If TRUE (default) cross-correlations are plotted.
`lag_axis` | logical. If TRUE (default) with plot=TRUE, x-axis is drawn.

### Value

`acov` | auto-covariance.
`ccov12` | cross-covariance.
`ccov21` | cross-covariance.
`acor` | auto-correlation.
`ccor12` | cross-correlation.
`ccor21` | cross-correlation.
`mean` | mean.

### References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

### Examples

      # Example 1
      x <- rnorm(200)
      y <- rnorm(200)
      xy <- array(c(x,y), dim=c(200,2))
      fftcor(xy, lag_axis=FALSE)

      # Example 2
      xorg <- rnorm(1003)
      x <- matrix(0,1000,2)
      x[,1] <- xorg[1:1000]
      x[,2] <- xorg[4:1003]+0.5*rnorm(1000)
      fftcor(x, lag=20)

[Package timsac version 1.3.5 Index]