Cross-correlation significance in R

How do you tell if the correlations at different lags obtained from the cross-correlation (ccf function) of two time series are significant.

Answer

The variance of the cross-correlation coefficient under the null hypothesis of zero correlation is approx 1/n where n is the length of the series. The coefficients are also asymptotically normal. So approximate critical values (at the 5% level) are ±2/n.

These critical values are plotted automatically in R using ccf(x,y).

Attribution
Source : Link , Question Author : Community , Answer Author : Rob Hyndman

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