Thank you Professor... Shubha Karanth | Amba Research Ph +91 80 3980 8031 | Mob +91 94 4886 4510 Bangalore * Colombo * London * New York * San José * Singapore * www.ambaresearch.com
-----Original Message----- From: Prof Brian Ripley [mailto:[EMAIL PROTECTED] Sent: Thursday, January 17, 2008 2:27 PM To: Shubha Vishwanath Karanth Cc: [EMAIL PROTECTED] Subject: Re: [R] acf lag1 value Please re-check your time-series books. The acf at lag 1 is _not_ the correlation between x and lag(x). For one thing, the variance of x is computed from the whole series, and not from the series with either the first or last value removed -- there is also the question of the divisor. See MASS p.390 for the formulae used. On Thu, 17 Jan 2008, Shubha Vishwanath Karanth wrote: > Hi R, > > > > I have doubt. > > > >> x= c(4,5,6,3,2,4,5) > >> acf(x,plot=F,lag.max=1) > > > > Autocorrelations of series 'x', by lag > > > > 0 1 > > 1.000 0.182 > > > > But if I actually calculate the autocorrelation at lag1 I get, Not the right formula. > > >> cor(x[-1],x[-length(x)]) > > [1] 0.1921538 > > > > Even in excel I get 0.1921538 value. So, I want to know what the 'acf' > function is calculating here.... > > > > Thanks in advance, > > Shubha Karanth > > This e-mail may contain confidential and/or privileged i...{{dropped:13}} > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 This e-mail may contain confidential and/or privileged i...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.