[R] a question on autocorrelation acf

R. Michael Weylandt michael.weylandt at gmail.com
Mon Dec 5 22:23:49 CET 2011

Did you check the MASS reference given above in the thread? If you
want to see the source, it's here:
http://svn.r-project.org/R/trunk/src/library/stats/src/filter.c (best
I can tell)


On Mon, Dec 5, 2011 at 2:24 PM, Bazman76 <h_a_patience at hotmail.com> wrote:
> Hi there,
> I am wondering how R calculates the acf too?
> I have a data set of approx 1500 returns when I calculate the lag 1
> autocorrelation in excel I get a value of -0.4 but in R its approximately
> -0.18?
> I have cross checked with PC give and PC give agrees with excel?
> I'm sure its just some kind of scaling but it would be nice to resolve this
> discrepency!
> Baz
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