I am not very familiar with cross-correlation analysis. I am analysing a large number of "paired" time series. For each pair, I am doing a ccf in R. I read in other posts that the horizontal line given by R indicates the significant values. How are they tested to be significant? Because I have to do this for hundreds of pairs, is there a way of grabbing the significant number from the R output?
> print(ccf(x,y)) Autocorrelations of series ‘X’, by lag -6 -5 -4 -3 -2 -1 0 1 2 3 4 -0.242 -0.090 0.057 0.197 0.466 0.699 0.896 0.436 0.221 -0.018 -0.116
Related to the R output, I noticed that these values are called autocorrelation coefficients? But they describe the correlation of a lagged A series with series B right? Does anybody have any more insight into why it's called autocorrelation?