Message-ID: <1323177420061-4164630.post@n4.nabble.com>
Date: 2011-12-06T13:17:00Z
From: Bazman76
Subject: a question on autocorrelation acf
In-Reply-To: <CAAmySGNv0tQcs0RdemTtfFjpTr6TnDV3C8QmMsR_orWtsfrMPA@mail.gmail.com>
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 acf() on these values, it shows 3 significant lags.
When I run the pacf() it shows one very strong correlation of 0.3 at lag 1,
and a smaller one at lag 2 of around 0.05.
Now according to the theory the pacf() results should give the correct
exponents for the lags.
This is a pure AR(1) process so the results should be 0.5 on lag 1 and
statistically insignificant else where?
I have tried if for several realisations of the white noise term and the
results are qualatively similar and is disagreement with the theory.
Kind Regards
Baz
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