The TIMESERIES Procedure |
CROSSCORR Statement |
A CROSSCORR statement can be used with the TIMESERIES procedure to specify options that are related to cross-correlation analysis of the accumulated time series. Only one CROSSCORR statement is allowed.
The following time domain statistics are available:
time lag
number of variance products
cross covariances
cross-correlations
cross-correlation standard errors
two standard errors beyond cross-correlation
normalized cross-correlations
cross-correlation probabilities
cross-correlation log probabilities
If none of the cross-correlation statistics are specified, the default is as follows:
crosscorr lag n ccov ccf ccfstd;
The following options can be specified in the CROSSCORR statement following the slash (/):
specifies the number of lags to be stored in the OUTCROSSCORR= data set or to be plotted. The default is 24 or three times the length of the seasonal cycle, whichever is smaller. The LAGS= option takes precedence over the NLAG= option.
specifies a list of lags to be stored in OUTCROSSCORR= data set or to be plotted. The list of lags must be separated by spaces or commas. For example, LAGS=(1,3) specifies the first then third lag.
TRANSPOSE=YES specifies that the OUTCROSSCORR= data set be recorded with the lags as the column names instead of with the cross-correlation statistics as the column names. The TRANSPOSE=NO option is useful for graphing the cross-correlation results with SAS/GRAPH procedures. The TRANSPOSE=YES option is useful for analyzing the cross-correlation results from using other procedures such as the CLUSTER procedure of SAS/STAT or SAS Enterprise Miner. The default is TRANSPOSE=NO.
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