[R] acf and pacf plot
Prof Brian Ripley
ripley at stats.ox.ac.uk
Sat Apr 28 06:26:14 CEST 2007
On Fri, 27 Apr 2007, tom soyer wrote:
> Thanks Eric!
> I also noticed that in R, acf returns ac at lag 0, while pacf does not (pac
> for pacf starts at lag 1). Do you know if there is a good reason for that?
> Shouldn't ac at lag 0 always be 1?
No. The acf is an autocovariance or autocorrelation function, depending
on the arguments, and it is for multiple timeseries where the value at lag
0 is the covariance/correlation matrix.
> On 4/27/07, Eric Thompson <ericthompso at gmail.com> wrote:
>> The lines indicate the confidence interval (95% by default). I think
>> you mean that it is not documented in help(acf), but it directs you to
>> plot.acf in the "See Also" secion.
>> From ?plot.acf:
>> The confidence interval plotted in 'plot.acf' is based on an
>> _uncorrelated_ series and should be treated with appropriate
>> caution. Using 'ci.type = "ma"' may be less potentially
>> also see the description of the ci and ci.type arguments. As far as
>> HOW they are calculated, I believe that the default is
>> qnorm(c(0.025, 0.975))/sqrt(n)
>> And yes, I think that they are very important.
>> Hope that helps.
>> On 4/27/07, tom soyer <tom.soyer at gmail.com> wrote:
>>> I noticed that whenever I ran acf or pacf, the plot generated by R
>>> includes two horizontal blue doted lines. Furthermore, these two lines
>>> not documented in the acf documentation. I don't know what they are for,
>>> it seems that they are important. Could someone tell me what they are
>>> how are they calculated?
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Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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