On Wed, 23 Apr 2008, Bob Farmer wrote:
> Thanks to Prof. Ripley and Phil Spector for pointing out that the
> autocorrelation functions must use a "nontraditional" definition of
> the covariance, involving a denominator of n (instead of n-1) in order
> to satisfy an assumption of second-order stati
Thanks to Prof. Ripley and Phil Spector for pointing out that the
autocorrelation functions must use a "nontraditional" definition of
the covariance, involving a denominator of n (instead of n-1) in order
to satisfy an assumption of second-order stationarity in the
(unbiased) covariance estimators
On Wed, 23 Apr 2008, Bob Farmer wrote:
> Hi.
> It's my understanding that a cross-correlation function of vectors x
> and y at lag zero is equivalent to their correlation (or covariance,
> depending on how the ccf is defined).
The ratio of your values is
> MASS::fractions(282568.5/259021)
[1] 12
Hi.
It's my understanding that a cross-correlation function of vectors x
and y at lag zero is equivalent to their correlation (or covariance,
depending on how the ccf is defined).
If this is true, could somebody please explain why I get an
inconsistent result between cov() and ccf(type = "covarianc
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