Cross correlation function between two vectors

Cross correlation function between two vectors

my_ccf(x, y, min.overlap = 0.1 * max(length(x), length(y)))

Arguments

x	vector
y	vector
min.overlap	integer value: what is the minimal number of values between x and y that should be considered?

Value

list with ccf values and lags

Examples

library(dplyr)
x <- runif(20)
my_ccf(x, lead(x, 5))
#> $lag
#>  [1] -18 -17 -16 -15 -14 -13 -12 -11 -10  -9  -8  -7  -6  -5  -4  -3  -2  -1   0
#> [20]   1   2   3   4   5   6   7   8   9  10  11  12  13  14  15  16  17  18
#> 
#> $ccf
#>  [1]           NA           NA           NA           NA           NA
#>  [6]  1.000000000  0.982587728 -0.959964205 -0.471819520 -0.205928181
#> [11] -0.800593361 -0.701130950  0.346922624  0.030650455  0.230626584
#> [16]  0.486030506 -0.061027167 -0.008921997 -0.450871976 -0.558105497
#> [21]  0.139195766 -0.210373363  0.026651363  1.000000000  0.039898800
#> [26] -0.152508964  0.239216783 -0.569945792 -0.487071899 -0.045757932
#> [31] -0.046975494  0.397078213  0.439470185  0.482579941  0.689954653
#> [36] -0.840451872 -1.000000000
#> 
my_ccf(x, lag(x, 5), min.overlap=3)
#> $lag
#>  [1] -17 -16 -15 -14 -13 -12 -11 -10  -9  -8  -7  -6  -5  -4  -3  -2  -1   0   1
#> [20]   2   3   4   5   6   7   8   9  10  11  12  13  14  15  16  17
#> 
#> $ccf
#>  [1] -0.076864474  0.961252204 -0.321111253  0.098186518  0.811079698
#>  [6]  0.141241206 -0.041100941 -0.179277738 -0.452765109  0.285699384
#> [11] -0.186512969  0.039673848  1.000000000  0.030606532  0.029807696
#> [16]  0.455915424 -0.460528708 -0.450871976 -0.008921997 -0.061027167
#> [21]  0.486030506  0.230626584  0.030650455  0.346922624 -0.701130950
#> [26] -0.800593361 -0.205928181 -0.471819520 -0.959964205  0.982587728
#> [31]           NA           NA           NA           NA           NA
#> 
x <- runif(100)
my_ccf(x[45:50], x, min.overlap=6)
#> $lag
#>  [1] -94 -93 -92 -91 -90 -89 -88 -87 -86 -85 -84 -83 -82 -81 -80 -79 -78 -77 -76
#> [20] -75 -74 -73 -72 -71 -70 -69 -68 -67 -66 -65 -64 -63 -62 -61 -60 -59 -58 -57
#> [39] -56 -55 -54 -53 -52 -51 -50 -49 -48 -47 -46 -45 -44 -43 -42 -41 -40 -39 -38
#> [58] -37 -36 -35 -34 -33 -32 -31 -30 -29 -28 -27 -26 -25 -24 -23 -22 -21 -20 -19
#> [77] -18 -17 -16 -15 -14 -13 -12 -11 -10  -9  -8  -7  -6  -5  -4  -3  -2  -1   0
#> 
#> $ccf
#>  [1]  0.567940045 -0.833130740  0.603167018 -0.127067345 -0.565911269
#>  [6]  0.687026364 -0.090968327 -0.076026813  0.340511005 -0.433715622
#> [11]  0.065911384 -0.716780515  0.181485975  0.216474546 -0.163140441
#> [16] -0.260435712 -0.323719423  0.714175859 -0.397009470  0.571847774
#> [21] -0.050274059 -0.428992330 -0.139262371 -0.300630626  0.632142554
#> [26] -0.050559298 -0.114109277  0.174181893  0.035467064  0.279482860
#> [31] -0.107581771  0.482307890 -0.454171142 -0.566116929  0.729602879
#> [36] -0.243380278 -0.108675817  0.184724023 -0.488727779 -0.038816392
#> [41]  0.455529034 -0.340999401  0.863261189 -0.567132205 -0.184643170
#> [46]  0.667071022 -0.869941477  0.606903357 -0.267686688 -0.831340363
#> [51]  1.000000000 -0.667069004  0.403601851  0.279403394 -0.304740806
#> [56]  0.882800003 -0.644289197 -0.219958608  0.420033562 -0.884201463
#> [61]  0.719892291 -0.371704153 -0.140795182  0.561900889 -0.355604367
#> [66]  0.160340390  0.200145131 -0.284535937  0.294292605  0.001622142
#> [71] -0.019830721 -0.101263091 -0.740532575 -0.055740692  0.489225625
#> [76] -0.475853229  0.372210166  0.550988431 -0.625995250  0.749486633
#> [81] -0.530582767 -0.573549632  0.729327827 -0.550012630  0.048621502
#> [86]  0.608128205 -0.972540327  0.707794490 -0.153947449 -0.393328934
#> [91]  0.257791616 -0.237568948  0.136382824  0.475223808  0.349642159
#>