On 14/09/2009 7:44 AM, Steve Jones wrote:
Apologies for the missing data. It can be downloaded from here (22Kb):
http://www.squaregoldfish.co.uk/sekrett/series.csv
The dataset is 97% missing values. I suspect what you're seeing is what
the man page describes as follows:
"If the na.action function passes through missing values (as na.pass
does), the covariances are computed from the complete cases. This means
that the estimate computed may well not be a valid autocorrelation
sequence,"
Duncan Murdoch
Steve.
Duncan Murdoch wrote:
On 14/09/2009 6:40 AM, Steve Jones wrote:
Hi list,
I've been producing autocorrelation functions of time series using the
acf function, and have found a series or two for which correlations of >
1 are given, which I think shouldn't happen.
Attached is the time series I'm using, and below is the R code (version
2.9.1) that I'm entering:
series <- read.csv("series.csv")
corr <- acf(series, lag.max=90, na.action=na.pass, plot=T)
The first few values of corr are below:
0 1.000
1 1.258
2 1.192
3 1.266
4 0.864
5 0.637
The entries of concern are 1-3 - surely these results are invalid?
I'd be grateful if you could shed any light on this for me.
Your data file didn't show up. (Some attachments are stripped; it's
better to include data inline.)
Duncan Murdoch
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