[R] acf
nuncio m
nuncio.m at gmail.com
Tue Jul 6 09:47:55 CEST 2010
Hi list,
I have the following code to compute the acf of a time series
acfresid <- acf(residfit), where residfit is the series
when I type acfresid at the prompt the follwoing is displayed
Autocorrelations of series ‘residfit’, by lag
0.0000 0.0833 0.1667 0.2500 0.3333 0.4167 0.5000 0.5833 0.6667 0.7500 0.8333
1.000 -0.015 0.010 0.099 0.048 -0.014 -0.039 -0.019 0.040 0.018 0.042
0.9167 1.0000 1.0833 1.1667 1.2500 1.3333 1.4167 1.5000 1.5833 1.6667 1.7500
0.078 -0.029 0.028 -0.016 -0.021 -0.109 0.000 -0.038 -0.006 0.015 -0.032
1.8333 1.9167 2.0000 2.0833
-0.002 0.014 -0.226 -0.030
Residfit is a timeseries object at monthly interval (0.0833), Here I
understand R computed the correlation at lags 0 to 2 years.
What is surprising to me is
if I type acfresidfit at the prompt the following is displayed
Autocorrelations of series ‘residfit’, by lag
0 1 2 3 4 5 6 7 8 9 10
1.000 -0.004 0.011 0.041 -0.056 0.019 -0.052 -0.027 -0.008 -0.012 -0.034
11 12 13 14 15 16 17 18 19 20 21
0.024 -0.005 0.006 -0.045 0.031 -0.035 -0.011 -0.021 -0.020 -0.010 -0.007
22 23 24 25
-0.038 0.017 0.051 0.038
>From the header I understand both are autocorrelation computed at the same
lags. but the correlations are different
where am I going wrong and which is the correct one.
file residfit is also attached(filename-fileree2_test_out.txt)
Thanks
nuncio
--
Nuncio.M
Research Scientist
National Center for Antarctic and Ocean research
Head land Sada
Vasco da Gamma
Goa-403804
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