On Wed, 23 Apr 2008, Bob Farmer wrote: > Thanks to Prof. Ripley and Phil Spector for pointing out that the > autocorrelation functions must use a "nontraditional" definition of > the covariance, involving a denominator of n (instead of n-1) in order > to satisfy an assumption of second-order stationarity in the > (unbiased) covariance estimators of a time series.
Actually, they are biased. Being a covariance sequence is the issue. (It's a longer explanation than I wanted or want to write out, hence my reference to a readily accessible source.) > In terms of getting at the source code for the (apparently compiled) > "R_acf", however, I've had no luck. While > https://svn.r-project.org/R/trunk > seems to be able to show me the source code for otherwise obscured (in > the R console) functions like print() > (e.g. https://svn.r-project.org/R/trunk/src/library/base/R/print.R ), > I can't seem to find the C code ("R_acf"?) called in this section: > .... > array(.C(R_acf, as.double(x), as.integer(sampleT), > as.integer(nser), as.integer(lag.max), as.integer(type == > "correlation"), acf = double((lag.max + 1) * nser * > nser), NAOK = TRUE) > .... > > of acf(). > For instance, in https://svn.r-project.org/R/trunk/src/library/stats/src/ > there is (seemingly) no "R_acf.C" or "stats.C" file that I would expect to > see. > I apologize in advance if this question is elementary or naive -- this > is my first time dealing with the source code. It is easier if you download and search the sources. In the same way that ccf() is not in ccf.R, 'R_acf' is entry point 'acf' in src/library/stats/src/filter.c. > > Thanks again. > --Bob Farmer > > On Wed, Apr 23, 2008 at 3:31 PM, Prof Brian Ripley > <[EMAIL PROTECTED]> wrote: >> On Wed, 23 Apr 2008, Bob Farmer wrote: >> >> >>> Hi. >>> It's my understanding that a cross-correlation function of vectors x >>> and y at lag zero is equivalent to their correlation (or covariance, >>> depending on how the ccf is defined). >>> >> >> The ratio of your values is >> >> >>> MASS::fractions(282568.5/259021) >>> >> [1] 12/11 >> >> ? Do you recognize it? >> >> There is an explanation in MASS4, p. 390, for example. >> >> >> >>> If this is true, could somebody please explain why I get an >>> inconsistent result between cov() and ccf(type = "covariance"), but a >>> consistent result between cor() and ccf(type = "correlation")? >>> Or have I misunderstood what is a cross-correlation? >>> (unfortunately, I can't seem to get a look at the ccf code, since I >>> think it's buried in some C function outside of the main environment) >>> >> >> It is in the R sources, not 'buried' at all - that is what 'Open Source' >> means. You can browse them at https://svn.r-project.org/R/trunk, or download >> them for study. >> >> >> >>> >>> Thanks very much. >>> --Bob Farmer >>> PhD candidate, Dalhousie University >>> Halifax, NS, Canada >>> >>> Example: >>> d1<-data.frame(matrix(ldeaths, nrow = 6, byrow = T)) >>> seventy_4<-as.numeric(d1[1,]) >>> seventy_5<-as.numeric(d1[2,]) >>> >>> ccf(x=seventy_4, y=seventy_5, >>> plot = F, lag.max = 0, type = "covariance" >>> ) >>> cov(seventy_4, seventy_5) #inconsistent >>> >>> ccf(x=seventy_4, y=seventy_5, >>> plot = F, lag.max = 0, type = "correlation" >>> ) >>> cor(seventy_4, seventy_5) #consistent >>> >>> >>> ______________________________________________ >>> R-help@r-project.org mailing list >>> https://stat.ethz.ch/mailman/listinfo/r-help >>> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >>> and provide commented, minimal, self-contained, reproducible code. >>> >>> >> >> -- >> Brian D. Ripley, [EMAIL PROTECTED] >> Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ >> University of Oxford, Tel: +44 1865 272861 (self) >> 1 South Parks Road, +44 1865 272866 (PA) >> Oxford OX1 3TG, UK Fax: +44 1865 272595 >> > -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
