R中不同时间序列数据值的互相关

我有一个5个地方的时间序列数据(以日格式),为期15天,存储为 matrix . 数据结构是

meter_daywise<-structure(c(24.4745528484842, 21.5936510486629, 58.9120896540103, 
49.4188338105575, 568.791971631185, 27.1682608244523, 23.3482757939878, 
74.710966227615, 82.6947717673258, 704.212340152625, 23.7581651139442, 
21.154634543401, 64.9680107059625, 420.903181621575, 672.629513512841, 
128.22871420984, 601.521395359887, 74.6606087800009, 335.87599588534, 
576.451039365565, 641.329910104503, 1010.78497435794, 72.6159099850862, 
225.153924410613, 582.652388366075, 529.082673064516, 1151.87208010484, 
76.9939865858514, 198.567927906582, 641.511944831027, 280.685806121688, 
998.647413766557, 73.2033388656998, 337.966543898629, 847.24874747014, 
76.7357959402453, 1065.75153722813, 220.286408574643, 301.120955096701, 
552.703945876515, 206.496034127105, 1053.49582469841, 206.187963352323, 
219.791668265415, 655.496754449233, 172.87981151456, 1018.01514547636, 
544.551001017031, 227.116788647859, 656.566145328213, 373.484460701849, 
1503.65562864399, 117.732932835236, 251.383369528816, 802.871808716031, 
150.471195301885, 1414.88799728991, 14.6490905509617, 203.429955747521, 
622.731792495107, 548.093577186778, 1076.5618643676, 15.5135269483705, 
256.581499048612, 644.572474965446, 63.2304035656636, 1538.07906461011, 
15.0980567507389, 261.513768642083, 622.17970609429, 210.786387991582, 
996.998005580537, 15.8138368515615, 157.390773346978, 573.477606081416
), .Dim = c(5L, 15L), .Dimnames = list(c("apFac_401", "apFac_403", 
"apFac_501", "apFac_503", "apFac_601"), c("D1", "D2", "D3", "D4", 
"D5", "D6", "D7", "D8", "D9", "D10", "D11", "D12", "D13", "D14", 
"D15")))

早些时候,我正在计算不同系列之间的相关性

library(corrplot)# for plotting correlation matrix
corrplot(cor(t(meter_daywise)),method = "number",type="lower")# have taken transpose of above structure

所以,有了这个,我得到一个很好的相关矩阵,显示不同系列之间的相关性 .
enter image description here

但是,在观察相关值时,我发现有些东西是错误的,在搜索时我发现了这个link,它提到我们需要计算 cross-correlation . 因此,现在我需要像上面那样计算互相关矩阵 . 因此,我发现了一些功能

1. ccf() #in base packages
  2. diss(meter_daywise,METHOD = "CORT",deltamethod = "DTW")#in TSclust package

我面临着上述功能的两个问题:

  • ccf 不要将完整矩阵作为输入

  • diss() 接受输入矩阵并产生一些矩阵,但在观察值时我发现它不是互相关矩阵,因为这些值不在 -11 之间 .

那么问题是我们如何计算R中不同时间序列值的互相关矩阵?

回答(1)

2 years ago

您可以将 matrix 转换为 listts 对象,然后使用 do.call .

meter_daywise <- structure(c(24.4745528484842, 21.5936510486629, 58.9120896540103, 
49.4188338105575, 568.791971631185, 27.1682608244523, 23.3482757939878, 
74.710966227615, 82.6947717673258, 704.212340152625, 23.7581651139442, 
21.154634543401, 64.9680107059625, 420.903181621575, 672.629513512841, 
128.22871420984, 601.521395359887, 74.6606087800009, 335.87599588534, 
576.451039365565, 641.329910104503, 1010.78497435794, 72.6159099850862, 
225.153924410613, 582.652388366075, 529.082673064516, 1151.87208010484, 
76.9939865858514, 198.567927906582, 641.511944831027, 280.685806121688, 
998.647413766557, 73.2033388656998, 337.966543898629, 847.24874747014, 
76.7357959402453, 1065.75153722813, 220.286408574643, 301.120955096701, 
552.703945876515, 206.496034127105, 1053.49582469841, 206.187963352323, 
219.791668265415, 655.496754449233, 172.87981151456, 1018.01514547636, 
544.551001017031, 227.116788647859, 656.566145328213, 373.484460701849, 
1503.65562864399, 117.732932835236, 251.383369528816, 802.871808716031, 
150.471195301885, 1414.88799728991, 14.6490905509617, 203.429955747521, 
622.731792495107, 548.093577186778, 1076.5618643676, 15.5135269483705, 
256.581499048612, 644.572474965446, 63.2304035656636, 1538.07906461011, 
15.0980567507389, 261.513768642083, 622.17970609429, 210.786387991582, 
996.998005580537, 15.8138368515615, 157.390773346978, 573.477606081416
), .Dim = c(5L, 15L), .Dimnames = list(c("apFac_401", "apFac_403", 
"apFac_501", "apFac_503", "apFac_601"), c("D1", "D2", "D3", "D4", 
"D5", "D6", "D7", "D8", "D9", "D10", "D11", "D12", "D13", "D14", 
"D15")))

tss <- unlist(apply(meter_daywise, 1 , function(x) list(ts(x))), recursive = FALSE)
tssu <- do.call(ts.union, tss)
plot(acf(tssu))

输出:

Corellograms and cross-corellograms