[R] acf?

[Gabor Grothendieck]

On Sat, Nov 5, 2011 at 12:26 AM, Kevin Burton <rkevinburton at charter.net> wrote:
> I started to check what I thought I knew with autocovariance and it doesn’t
> jive with the the calculations given by ‘R’. I was wondering if there is
> some scaling or something that I am not aware of.
>
>
>
> Take the example
>
>
>
> Ø  d <- 1:10
>
> Ø  (a <- acf(d, type="covariance", demean=FALSE, plot=FALSE))
>
>
>
> Autocovariances of series ‘d’, by lag
>
>
>
>   0    1    2    3    4    5    6    7    8    9
>
> 38.5 33.0 27.6 22.4 17.5 13.0  9.0  5.6  2.9  1.0
>
>
>
> But when I calculate it manually (for lag of 1) like:
>
>
>
> Ø  y1 <- d – mean(d)
>
> Ø  dl <- c(d[-1], d[1])
>
> Ø  y2 <- dl – mean(d)
>
> Ø  mean(y1*y2)
>
> [1] 3.75
>
>
>
> What am I missing to get this basic concept? Isn’t it E[(Yt – ut)(Ys – us)]?
>

Try this:

> d <- 1:10
> dm <- d - mean(d)
> sum(dm[-1] * dm[-10]) / 10
[1] 5.775
> acf(d, type = "cov", plot = FALSE)[1]

Autocovariances of series ‘d’, by lag

   1
5.78
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