[R] Different Autocorrelation using R and other softwares
Prof Brian Ripley
ripley at stats.ox.ac.uk
Sun Jul 6 10:33:05 CEST 2008
It is not 'obvious' that SPSS/Minitab/Excel are right -- we quite often
see users who wrongly assume that the autocorrelation is the Pearson
correlation between a series and its lagged values. The correct
definition is given in the reference on the help page for acf.
Please note the footer to this message: you were asked for a reproducible
example (and not to send HTML mail). In the absence of such an example
we cannot investigate if this is user error (which seems the most
On Sun, 6 Jul 2008, Yinny wrote:
> Dear All,
> Would like to ask the inconsistency in the autocorrelation from R with
> SPSS/Minitab. I have tried a dataset x with 20 data (1-20) and ask R to give
> the autocorrelation of different lags using the command < acf(x,
> lag.max=100, type = "correlation"), However while SPSS and Minitab give the
> same answers (0.85 for lag1), R gives 0.3688 which is much smaller.
> Obviously, the answers from SPSS/Minitab are correct by verifying in
> Excel. Is R using another definition in calculating the traditional
> autocorrelation for a time-series?
> Thanks for your attention. Would be very grateful if anyone can help.
> School of Mathematics & Statistics
> University of Sydney
> [[alternative HTML version deleted]]
> R-help at r-project.org mailing list
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> and provide commented, minimal, self-contained, reproducible code.
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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