G'day Steve, On Mon, 14 Sep 2009 13:44:56 +0200 Steve Jones <st...@squaregoldfish.co.uk> wrote:
> Apologies for the missing data. It can be downloaded from here (22Kb): > http://www.squaregoldfish.co.uk/sekrett/series.csv Well, the Details section of acf's help page states: By default, no missing values are allowed. If the 'na.action' function passes through missing values (as 'na.pass' does), the covariances are computed from the complete cases. This means that the estimate computed may well not be a valid autocorrelation sequence, and may contain missing values. [...] And you have seem to have a massive amount of missing data: R> dat <- scan(url("http://www.squaregoldfish.co.uk/sekrett/series.csv";)) Read 6940 items R> mean(!is.na(dat)) [1] 0.02881844 And, not surprisingly, an even smaller proportion of consecutive, non-missing observations. R> mean(!is.na(dat[-1]) & !is.na(dat[-length(dat)])) [1] 0.006340971 You can find out which formulae are used exactly by acf by studying the code, but this might give you an idea about what is going on: R> ind <- !is.na(dat) R> (mu <- mean(dat[ind])) ## too lazy for mean(dat, na.rm=TRUE) [1] 373.5165 R> (sig2 <- var(dat[ind])) ## ditto [1] 463.4041 R> ind <- which(!is.na(dat[-1]) & !is.na(dat[-length(dat)])) R> sum( (dat[ind]-mu) * (dat[ind+1] - mu)) / length(ind) [1] 593.3041 R> sum( (dat[ind]-mu) * (dat[ind+1] - mu)) / length(ind) / sig2 [1] 1.280317 HTH Cheers, Berwin ========================== Full address ============================ Berwin A Turlach Tel.: +61 (8) 6488 3338 (secr) School of Maths and Stats (M019) +61 (8) 6488 3383 (self) The University of Western Australia FAX : +61 (8) 6488 1028 35 Stirling Highway Crawley WA 6009 e-mail: ber...@maths.uwa.edu.au Australia http://www.maths.uwa.edu.au/~berwin ______________________________________________ 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.
