Thanks, Duncan, but there are no reference in ?acf. The only probably
related stuff is
"Author(s):
Original: Paul Gilbert, Martyn Plummer. Extensive modifications
and univariate case of 'pacf' by B.D. Ripley."
And I didn't find anything with google search of it.
On Thu, Apr 29, 2010 at 7:08 PM, Duncan Murdoch <murdoch.dun...@gmail.com>wrote:
> On 29/04/2010 6:22 PM, zhenjiang xu wrote:
>
>> Hi R users,
>>
>> where can I find the equations used by acf function to calculate
>> autocorrelation?
>>
>
> See the reference listed in ?acf.
>
> Duncan Murdoch
>
>
> I think I misunderstand acf. Doesn't acf use following
>> equation to calculate autocorrelation?
>> [image: R(\tau) = \frac{\operatorname{E}[(X_t - \mu)(X_{t+\tau} -
>> \mu)]}{\sigma^2}\, ,]
>> If it does, then the autocorrelation of a sine function should give a
>> cosine; however, the following code gives a cosine-shape function with its
>> magnitude decreasing along the lag.
>> x = c(1:500)
>> x = x/10
>> x = sin(x)
>> acf(x, type='correlation', lag.max=length(x)-1)
>>
>>
>>
>
>
--
Best,
Zhenjiang
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