Part 1: Previously I was using the
ccf function in R to compute cross correlations between two timeseries
ts_2. Now, I want to compute the crosscorrelation, but I have a vector of weights which is the same length as
ts_2. From what I understand, the built-in
ccf function I was using in does not have an argument for weights. Does another function/package have these capabilities?
Part 2: On a more conceptual note, I understand that Pearsons crosscorrelation cannot exceed 1 (or rather the absolute value of the crosscorrelation value). However, does this also hold true for weighted cross correlation? If so, what does this mean/how do I interpret this?
Thank you in advance for your help!