The answers differ by a factor of 19/20, ie, (n-1)/n, so it is presumably
the choice of denominator for the variance that differs.
-thomas
On Tue, 2 Jun 2009, Liviu Andronic wrote:
Dear all,
Does this make any sense:
var() = cov() != acf(lag.max=0, type="covariance")?
I have daily data of IBM for May 2005, and I'm using the logarithmic return:
ibm200505$LRAdj.Close
[1] NA 0.0203152 0.0005508 -0.0148397 -0.0025182 0.0092025
-0.0013889
[8] 0.0098196 -0.0103757 -0.0274917 0.0005716 -0.0159842 -0.0074306
0.0091710
[15] 0.0002898 0.0226306 0.0036754 0.0005643 0.0206567 -0.0079052
0.0005568
with(ibm200505, {var(RAdj.Close, na.rm=TRUE)})
[1] 0.0001627
with(ibm200505, {cov(RAdj.Close, RAdj.Close, use="pairwise.complete.obs")})
[1] 0.0001627
with(ibm200505, {acf(RAdj.Close, lag.max=0, type="covariance",
na.action=na.pass, plot=F)})$acf[1]
[1] 0.0001546
For the correlation, the function yields expected results:
with(ibm200505, {cor(RAdj.Close, RAdj.Close, use="pairwise.complete.obs")})
[1] 1
with(ibm200505, {acf(RAdj.Close, lag.max=0, type="correlation",
na.action=na.pass, plot=F)})$acf[1]
[1] 1
Is this a bug, or am I doing anything stupid?
Thank you
Liviu
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