a question on autocorrelation acf
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 <h_a_patience at hotmail.com> wrote:
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 kind of scaling but it would be nice to resolve this discrepency! Baz -- View this message in context: http://r.789695.n4.nabble.com/a-question-on-autocorrelation-acf-tp2076280p4161818.html Sent from the R help mailing list archive at Nabble.com.
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