How to Calculate Cross Correlation in R?

In this article we will discuss how to calculate cross correlation in R programming language. Correlation is used to get the relation between two or more variables.

• The result is 0, if there is no correlation between two variables
• The result is 1, if there is positive correlation between two variables
• The result is -1, if there is negative  correlation between two variables

Cross correlation is used to measure the relationship between a time series and a lagged version of another time series. We can calculate this by using the ccf() method.

Syntax:

ccf(data1,data2)

where, data1 and data2 may be a vector or a dataframe

Return:

It will result the auto correlation lag and plot

Example: Cross correlation between two vectors

R

# create the vector with 10 elements
data1=c(1:10)

# create the vector with 10 elements
data2=c(45:54)

# get ccf of the two data
print(ccf(data1,data2))

Output:

Example : Auto correlation between two columns in the dataframe

R

# create the dataframe with 2 columns
data1=data.frame(a=c(1:10),b=c(23:32))

# get ccf of the two dataframe columns
print(ccf(data1$a,data1$b))

Output: