statsmodels.graphics.tsaplots.plot_ccf

statsmodels.graphics.tsaplots.plot_ccf(x, y, *, ax=None, lags=None, negative_lags=False, alpha=0.05, use_vlines=True, adjusted=False, fft=False, title='Cross-correlation', auto_ylims=False, vlines_kwargs=None, **kwargs)[source]

Plot the cross-correlation function

Correlations between x and the lags of y are calculated.

The lags are shown on the horizontal axis and the correlations on the vertical axis.

Parameters:

  • x (array_like) – Arrays of time-series values.

  • y (array_like) – Arrays of time-series values.

  • ax (AxesSubplot, optional) – If given, this subplot is used to plot in, otherwise a new figure with one subplot is created.

  • lags ({int, array_like}, optional) – An int or array of lag values, used on the horizontal axis. Uses np.arange(lags) when lags is an int. If not provided, lags=np.arange(len(corr)) is used.

  • negative_lags (bool, optional) – If True, negative lags are shown on the horizontal axis.

  • alpha (scalar, optional) – If a number is given, the confidence intervals for the given level are plotted, e.g. if alpha=.05, 95 % confidence intervals are shown. If None, confidence intervals are not shown on the plot.

  • use_vlines (bool, optional) – If True, shows vertical lines and markers for the correlation values. If False, only shows markers. The default marker is ‘o’; it can be overridden with a marker kwarg.

  • adjusted (bool) – If True, then denominators for cross-correlations are n-k, otherwise n.

  • fft (bool, optional) – If True, computes the CCF via FFT.

  • title (str, optional) – Title to place on plot. Default is ‘Cross-correlation’.

  • auto_ylims (bool, optional) – If True, adjusts automatically the vertical axis limits to CCF values.

  • vlines_kwargs (dict, optional) – Optional dictionary of keyword arguments that are passed to vlines.

  • **kwargs (kwargs, optional) – Optional keyword arguments that are directly passed on to the Matplotlib plot and axhline functions.

Returns:

The figure where the plot is drawn. This is either an existing figure if the ax argument is provided, or a newly created figure if ax is None.

Return type:

Figure

See also

statsmodels.graphics.tsaplots.plot_acf

Examples

>>> import pandas as pd
>>> import matplotlib.pyplot as plt
>>> import statsmodels.api as sm

>>> dta = sm.datasets.macrodata.load_pandas().data
>>> diffed = dta.diff().dropna()
>>> sm.graphics.tsa.plot_ccf(diffed["unemp"], diffed["infl"])
>>> plt.show()