On 11/13/2006 2:24 PM, A.I. McLeod wrote: >> I don't think that's a reasonable expectation. You've got an empty sum >> in the formula for the lag 1 autocovariance: >> >> sum_{i=1}^0 phi_i phi_{i+1} >> >> R is assuming that's not what you meant and is reporting it as an error. >> If it gave you any value, it should be zero, not phi^2. >> > ******************************************** > I agree the empty sum which is the lag 1 autocovariance should be zero but > this is the SECOND term in $acf output. > For the first term, > 1) if demean=F, it is variance which is phi^2 as I suggested > 2) if demean=T, it is the variance/variance = 0/0 which I said should best be > 1
Okay, I see what you mean now. Yes, I agree acf should return lag 0 autocorrelations and autocovariances even for a series of length 1. I'll take a look at the code. Duncan Murdoch > > > ----- Original Message ----- > From: "Duncan Murdoch" <[EMAIL PROTECTED]> > To: <[EMAIL PROTECTED]> > Cc: <r-devel@stat.math.ethz.ch>; <[EMAIL PROTECTED]> > Sent: Monday, November 13, 2006 11:22 AM > Subject: Re: [Rd] bug in acf (PR#9360) > > >> On 11/13/2006 10:30 AM, [EMAIL PROTECTED] wrote: >>> Full_Name: Ian McLeod >>> Version: 2.3.1 >>> OS: Windows >>> Submission from: (NULL) (129.100.76.136) >>> >>> >>>> There is a simple bug in acf as shown below: >>>> >>>> z <- 1 >>>> acf(z,lag.max=1,plot=FALSE) >>>> Error in acf(z, lag.max = 1, plot = FALSE) : >>>> 'lag.max' must be at least 1 >>>> >>> This is certainly a bug. >> >> I'd say it's a documentation bug, rather than a code bug. >>> >>> There are two problems: >>> >>> (i) the error message is wrong since lag.max is set to 1. Perhaps, if the >>> function acf can not be used for in this situaiton, a different error >>> message >>> would be more appropriate. I understand why this might be done but I don't >>> think it is the best approach. >> >> What happens is that lag.max is reduced to length(z)-1, which is zero in >> your case. This change should be mentioned in the documentation. >> >>> (ii) Please look at the function GetB which is attached. This is part a >>> computation for a fast algorithm for exact mle of mean. Usually phi here >>> are >>> the coefficients from a high order AR but when I tried for AR(1) I got the >>> error >>> message. So the workaround is given. Notice that I use: >>> >>> p*as.vector(acf(phi,lag.max=p,type="covariance",demean=FALSE,plot=FALSE)$acf) >>> >>> so what I expect to get when p=length(phi)=1 is just phi^2. This is what >>> happens in Mathematica with ListCorrelate[{phi},{phi}]. When you have >>> acf="correlation" and demean=TRUE then one gets 0/0 which should be defined >>> as 1 >>> in this situation. >> >> I don't think that's a reasonable expectation. You've got an empty sum >> in the formula for the lag 1 autocovariance: >> >> sum_{i=1}^0 phi_i phi_{i+1} >> >> R is assuming that's not what you meant and is reporting it as an error. >> If it gave you any value, it should be zero, not phi^2. >> >> Duncan Murdoch >> >>> >>> Probably if the R authors just want to use acf for data analysis they may >>> simply >>> choose to require length(x)>1 in acf(x,...) although I don't see the harm >>> in my >>> suggestion either. > > ______________________________________________ > R-devel@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-devel ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel