[R] variance does not equal serial covariance of lag zero?

Thomas Lumley tlumley at u.washington.edu
Tue Jun 2 15:34:25 CEST 2009


The answers differ by a factor of 19/20, ie, (n-1)/n, so it is presumably 
the choice of denominator for the variance that differs.

 	-thomas

On Tue, 2 Jun 2009, Liviu Andronic wrote:

> Dear all,
> Does this make any sense:
> var() = cov() != acf(lag.max=0, type="covariance")?
>
> I have daily data of IBM for May 2005, and I'm using the logarithmic return:
>> ibm200505$LRAdj.Close
> [1]         NA  0.0203152  0.0005508 -0.0148397 -0.0025182  0.0092025
> -0.0013889
> [8]  0.0098196 -0.0103757 -0.0274917  0.0005716 -0.0159842 -0.0074306
> 0.0091710
> [15]  0.0002898  0.0226306  0.0036754  0.0005643  0.0206567 -0.0079052
> 0.0005568
>> with(ibm200505, {var(RAdj.Close, na.rm=TRUE)})
> [1] 0.0001627
>> with(ibm200505, {cov(RAdj.Close, RAdj.Close, use="pairwise.complete.obs")})
> [1] 0.0001627
>> with(ibm200505, {acf(RAdj.Close, lag.max=0, type="covariance", na.action=na.pass, plot=F)})$acf[1]
> [1] 0.0001546
>
> For the correlation, the function yields expected results:
>> with(ibm200505, {cor(RAdj.Close, RAdj.Close, use="pairwise.complete.obs")})
> [1] 1
>> with(ibm200505, {acf(RAdj.Close, lag.max=0, type="correlation", na.action=na.pass, plot=F)})$acf[1]
> [1] 1
>
> Is this a bug, or am I doing anything stupid?
> Thank you
> Liviu
>
>
>
>
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Thomas Lumley			Assoc. Professor, Biostatistics
tlumley at u.washington.edu	University of Washington, Seattle




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