http://r.789695.n4.nabble.com/file/n4164630/R_example.xlsx R_example.xlsx
Hi there,
I attach an excel file which I use to produce the data.
It simulates a simple AR(1) process y_t=0.5y_{t-1}+z_t.
In column E I have cut and paste values so that we can compare like with
like.
When I run the ac
The code provided was the hard-to-find C part: there's also some R
code involved that you can get in your console by typing acf without
parentheses.
I'm inclined to believe V&R over any Excel implementation (and I don't
know what "pc" is) but perhaps you can provide a (small) data-set
using the dp
Hi there,
I have now cheked the results against pc give and the excel add-in poptools.
Poptools and pc give get the same answer but R is quite different especially
for the acf and pacf()?
I looked at the book you recommended on p390 itshows the formulas and they
look pretty standard.
However lo
Did you check the MASS reference given above in the thread? If you
want to see the source, it's here:
http://svn.r-project.org/R/trunk/src/library/stats/src/filter.c (best
I can tell)
Michael
On Mon, Dec 5, 2011 at 2:24 PM, Bazman76 wrote:
> Hi there,
>
> I am wondering how R calculates the acf
Hi there,
I am wondering how R calculates the acf too?
I have a data set of approx 1500 returns when I calculate the lag 1
autocorrelation in excel I get a value of -0.4 but in R its approximately
-0.18?
I have cross checked with PC give and PC give agrees with excel?
I'm sure its just some kin
I think you are Googling the wrong "reference." Note in ?acf the following:
References:
Venables, W. N. and Ripley, B. D. (2002) _Modern Applied
Statistics with S_. Fourth Edition. Springer-Verlag.
(This contains the exact definitions used.)
On Fri, Apr 30, 2010 at 10:42 AM, z
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
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(
Hi R users,
where can I find the equations used by acf function to calculate
autocorrelation? 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 a
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