Howtosignalprocessing
- How do you interpret cross-correlation results?
- What does the CCF tell us?
- What does a negative CCF mean?
- What does negative cross-correlation mean?
How do you interpret cross-correlation results?
If the slope is positive, the cross correlation is positive; if there is a negative slope, the cross correlation is negative. This helps to identify important lags (or leads) in the process and is useful for application when there are predictors in an ARIMA model.
What does the CCF tell us?
CCF displays and plots the cross-correlation functions of two or more time series. You can also display and plot the cross-correlations of transformed series by requesting natural log and differencing transformations within the procedure. Modifying the Series.
What does a negative CCF mean?
In R, the sample CCF is defined as the set of sample correlations between x t + h and for h = 0, ±1, ±2, ±3, and so on. A negative value for is a correlation between the x-variable at a time before and the y-variable at time . For instance, consider = −2. The CCF value would give the correlation between x t − 2 and .
What does negative cross-correlation mean?
A negative correlation describes the extent to which two variables move in opposite directions. For example, for two variables, X and Y, an increase in X is associated with a decrease in Y. A negative correlation coefficient is also referred to as an inverse correlation.
