question concerning the acf function

1 message · Jean-Christophe BOUËTTÉ

Original

Jean-Christophe BOUËTTÉ

Fri, Sep 16, 2011 8:31 AM #

Hi Samir,
to me, autocorrelation is the cross-correlation of a signal with
itself. Which is why I don't really understand the meaning of your
question.
Are you looking for cross-correlation, for example the ccf function
documented in the same help page as acf ?

JC


2011/9/16 Samir Benzerfa <benzerfa at gmx.ch>:

Below you can see a sample of my data.

I learned that I can calculate the autocorrelation of such time series by
using the function acf(Stock A) or pacf(Stock A) and the same for the other
stocks. What I would like to do, is to calculate the overall autocorrelation
in the whole set (so for all stocks together).

Any ideas?

Thanks,
SB


Date ? ?Stock A ? ? ? ? Stock B
01.01.1980 ? ? ?0 ? ? ? ? ? ? ? ? ? ? ? 0
02.01.1980 ? ? ?0 ? ? ? ? ? ? ? ? ? ? ? 0
03.01.1980 ? ? ?0.002149977 ? ? ? ? ? ? 0
04.01.1980 ? ? ?-0.002149977 ? ?0.003966489
07.01.1980 ? ? ?0 ? ? ? ? ? ? ? ? ? ? ? 0
08.01.1980 ? ? ?0.007478811 ? ? ? ? ? ? 0
09.01.1980 ? ? ?0.007352198 ? ? ? ? ? ? 0.00393059
10.01.1980 ? ? ?0.003113235 ? ? ? ? ? ? 0.009673601
11.01.1980 ? ? ?-0.008352074 ? ?-0.003843623
14.01.1980 ? ? ?0 ? ? ? ? ? ? ? ? ? ? ? 0
15.01.1980 ? ? ?-0.006371182 ? ?-0.009760568
16.01.1980 ? ? ?0.007424018 ? ? ? ? ? ? 0.00393059
17.01.1980 ? ? ?0.007299239 ? ? ? ? ? ? 0.001952035
18.01.1980 ? ? ?-0.008352074 ? ?-0.001952035



-----Urspr?ngliche Nachricht-----
Von: Jean-Christophe BOU?TT? [mailto:jcbouette at gmail.com]
Gesendet: Freitag, 16. September 2011 15:20
An: Samir Benzerfa
Cc: r-help at r-project.org
Betreff: Re: [R] question concerning the acf function

Hi,
you did not supply a reproducible example. We do not know what your
data nor your code looks like.
Please follow the recommandations found at the bottom of this email!
You're more likely to get a quick and meaningful reply.
JC

2011/9/16 Samir Benzerfa <benzerfa at gmx.ch>:

Hi everyone,



I've got a question concerning the function acf(.) in R for calculating

the

autocorrelation in my data.



I have a table with daily returns of several stocks over time and I would
like to calculate the autocorrelation for all the series (not only for one
time series). How can I do this?

After that I want to apply an autoregressive model based on the estimated
lag in the data and finally extract the residuals for further

calculations.



Many thanks & best regards

Benzerfa


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