Finding lag at which cross correlation is maximum ccf( )

Question

I have 2 time series and I am using ccf to find the cross correlation between them. ccf(ts1, ts2) lists the cross-correlations for all time lags. How can I find the lag which results in maximum correlation without manually looking at the data?

Answer 1

Posting the answer http://r.789695.n4.nabble.com/ccf-function-td2288257.html

Find_Max_CCF<- function(a,b)
{
 d <- ccf(a, b, plot = FALSE)
 cor = d$acf[,,1]
 lag = d$lag[,,1]
 res = data.frame(cor,lag)
 res_max = res[which.max(res$cor),]
 return(res_max)
} 

Answer 2

I thought I'd redo the above function but have it find the absolute max correlation that returns the original correlation (positive or negative). I also maxed out (nearly) the number of lags.

Find_Abs_Max_CCF<- function(a,b)
{
 d <- ccf(a, b, plot = FALSE, lag.max = length(a)-5)
 cor = d$acf[,,1]
 abscor = abs(d$acf[,,1])
 lag = d$lag[,,1]
 res = data.frame(cor,lag)
 absres = data.frame(abscor,lag)
 absres_max = res[which.max(absres$abscor),]
 return(absres_max)
}