It is not 'obvious' that SPSS/Minitab/Excel are right -- we quite often
see users who wrongly assume that the autocorrelation is the Pearson
correlation between a series and its lagged values. The correct
definition is given in the reference on the help page for acf.
Please note the footer to this message: you were asked for a reproducible
example (and not to send HTML mail). In the absence of such an example
we cannot investigate if this is user error (which seems the most
plausible explanation.)
On Sun, 6 Jul 2008, Yinny wrote:
Dear All,
Would like to ask the inconsistency in the autocorrelation from R with
SPSS/Minitab. I have tried a dataset x with 20 data (1-20) and ask R to give
the autocorrelation of different lags using the command < acf(x,
lag.max=100, type = "correlation"), However while SPSS and Minitab give the
same answers (0.85 for lag1), R gives 0.3688 which is much smaller.
Obviously, the answers from SPSS/Minitab are correct by verifying in
Excel. Is R using another definition in calculating the traditional
autocorrelation for a time-series?
Thanks for your attention. Would be very grateful if anyone can help.
Yinny
School of Mathematics & Statistics
University of Sydney
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