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Find the lag at which cross-correlation between two time series is maximised

Source: R/analysis_functions.R
cross_corr.Rd

Computes the cross-correlation function (CCF) between x_var and y_var for lags from -max_lag to 0 using ccf, then returns the lag with the highest CCF for each group. Only non-positive lags are considered (i.e. x_var leading y_var), reflecting the assumption that changes in the primary series precede changes in the secondary series.

Usage

cross_corr(
  dat,
  date_var = NULL,
  grp_var,
  x_var,
  y_var,
  max_lag = 20,
  subset_date = NULL
)

Arguments

dat

A data frame containing the two time series and a grouping column.

date_var

Character string giving the name of the date column. Required when subset_date is non-NULL. When supplied, rows are sorted by date_var within each group before the CCF is computed (required because ccf assumes row order is chronological). If NULL, dat must already be sorted chronologically within each group.

grp_var

Character string giving the name of the grouping column. The CCF is computed separately within each group.

x_var

Character string giving the name of the primary (leading) time series column.

y_var

Character string giving the name of the secondary (lagged) time series column.

max_lag

Integer. Maximum number of lags to evaluate. CCF is computed for lags -max_lag to 0. Default is 20.

subset_date

Character string in the same format as date_var. If supplied, only rows with dates on or before subset_date are used. Requires date_var to be specified.

Value

A tibble with one row per group containing:

<grp_var>

Group identifier; column name matches grp_var.

lag

Integer \(\leq 0\). The lag at which the CCF between x_var and y_var is highest within that group.

See also

rolling_corr to compute rolling correlation at the identified lag; ccf for the underlying CCF method.

Examples

if (FALSE) { # \dontrun{
lags <- cross_corr(
  dat      = my_data,
  date_var = "date",
  grp_var  = "region",
  x_var    = "r_mean",
  y_var    = "movement",
  max_lag  = 14
)
} # }