On Fri, 27 Apr 2007, tom soyer wrote: > Thanks Eric! > > I also noticed that in R, acf returns ac at lag 0, while pacf does not (pac > for pacf starts at lag 1). Do you know if there is a good reason for that? > Shouldn't ac at lag 0 always be 1?
No. The acf is an autocovariance or autocorrelation function, depending on the arguments, and it is for multiple timeseries where the value at lag 0 is the covariance/correlation matrix. > On 4/27/07, Eric Thompson <[EMAIL PROTECTED]> wrote: >> >> The lines indicate the confidence interval (95% by default). I think >> you mean that it is not documented in help(acf), but it directs you to >> plot.acf in the "See Also" secion. >> >> From ?plot.acf: >> >> Note: >> >> The confidence interval plotted in 'plot.acf' is based on an >> _uncorrelated_ series and should be treated with appropriate >> caution. Using 'ci.type = "ma"' may be less potentially >> misleading. >> >> also see the description of the ci and ci.type arguments. As far as >> HOW they are calculated, I believe that the default is >> >> qnorm(c(0.025, 0.975))/sqrt(n) >> >> And yes, I think that they are very important. >> >> Hope that helps. >> >> Eric >> >> >> On 4/27/07, tom soyer <[EMAIL PROTECTED]> wrote: >>> Hi, >>> >>> I noticed that whenever I ran acf or pacf, the plot generated by R >> always >>> includes two horizontal blue doted lines. Furthermore, these two lines >> are >>> not documented in the acf documentation. I don't know what they are for, >> but >>> it seems that they are important. Could someone tell me what they are >> and >>> how are they calculated? >>> >>> Thanks, >>> >>> -- >>> Tom >>> >>> [[alternative HTML version deleted]] >>> >>> ______________________________________________ >>> R-help@stat.math.ethz.ch 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 ______________________________________________ R-help@stat.math.ethz.ch 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.