# testCCF: Statistic Test for CCF In chengfeifan/Causality: Calculate the Causality between variables

## Description

Takes in five parameters, and test whether there is causality between two variables.

## Usage

 `1` ```testCCF(x, y, lag.max, alpha, sampleTimes, ...) ```

## Arguments

 `x` A vector represents a time sequence `y` A vector represents another sequence `lag.max` Max time lag `alpha` Significant level `sampleTimes` The times of permutation sample for second order test

## Details

First order test is to test whether the ccfvalue is different from zero. Second Test is to test whether the ccfvalue satisfies the 3-sigma test

## Value

When pho < 0, it will return a sentence for no causality. When first order test is unsatisfied, it will return a sentence. When the second order test is unsatisfied, it will return a sentence and list of Q and sampleQ vector. When all the test is passed, it will return Q

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26``` ```data("BMData") i=8 u<-BMData[[i]]\$u y<-BMData[[i]]\$y resultw<-testCCF(u,y,lag.max=97,alpha = 0.05,sampleTimes=10000) resultq<-testCCF(u,y,lag.max=97,alpha = 0.05,sampleTimes=1000) resultb<-testCCF(u,y,lag.max=97,alpha = 0.05,sampleTimes=100) datab<-cbind(ccf=resultb[[2]],sampleTime=rep(100,100)) dataq<-cbind(ccf=resultq[[2]],sampleTime=rep(1000,1000)) dataw<-cbind(ccf=resultw[[2]],sampleTime=rep(10000,10000)) data<-rbind(datab,dataq,dataw) data<-as.data.frame(data) data\$sampleTime<-as.factor(data\$sampleTime) library(plyr) cdata <- ddply(data, "sampleTime", summarise, ccf.mean=mean(ccf), ccf.3sigma=mean(ccf)+3*sd(ccf)) library(ggplot2) ggplot(data) + geom_density(aes(x = ccf, colour = sampleTime), size=1)+labs(x=expression(paste("C"[pi],""^"CCF")))+ labs(y=expression(paste("p","(C"[pi],""^"CCF",")")))+ labs(title = "2nd order system")+ geom_vline(data=cdata, aes(xintercept=ccf.3sigma, colour=sampleTime), linetype="dashed", size=1)+ geom_vline(aes(xintercept=result[[1]]), linetype="dashed", size=1) ```

chengfeifan/Causality documentation built on May 13, 2019, 3:40 p.m.