[R] variance does not equal serial covariance of lag zero?
Thomas Lumley
tlumley at u.washington.edu
Tue Jun 2 15:34:25 CEST 2009
The answers differ by a factor of 19/20, ie, (n-1)/n, so it is presumably
the choice of denominator for the variance that differs.
-thomas
On Tue, 2 Jun 2009, Liviu Andronic wrote:
> Dear all,
> Does this make any sense:
> var() = cov() != acf(lag.max=0, type="covariance")?
>
> I have daily data of IBM for May 2005, and I'm using the logarithmic return:
>> ibm200505$LRAdj.Close
> [1] NA 0.0203152 0.0005508 -0.0148397 -0.0025182 0.0092025
> -0.0013889
> [8] 0.0098196 -0.0103757 -0.0274917 0.0005716 -0.0159842 -0.0074306
> 0.0091710
> [15] 0.0002898 0.0226306 0.0036754 0.0005643 0.0206567 -0.0079052
> 0.0005568
>> with(ibm200505, {var(RAdj.Close, na.rm=TRUE)})
> [1] 0.0001627
>> with(ibm200505, {cov(RAdj.Close, RAdj.Close, use="pairwise.complete.obs")})
> [1] 0.0001627
>> with(ibm200505, {acf(RAdj.Close, lag.max=0, type="covariance", na.action=na.pass, plot=F)})$acf[1]
> [1] 0.0001546
>
> For the correlation, the function yields expected results:
>> with(ibm200505, {cor(RAdj.Close, RAdj.Close, use="pairwise.complete.obs")})
> [1] 1
>> with(ibm200505, {acf(RAdj.Close, lag.max=0, type="correlation", na.action=na.pass, plot=F)})$acf[1]
> [1] 1
>
> Is this a bug, or am I doing anything stupid?
> Thank you
> Liviu
>
>
>
>
> --
> Do you know how to read?
> http://www.alienetworks.com/srtest.cfm
> Do you know how to write?
> http://garbl.home.comcast.net/~garbl/stylemanual/e.htm#e-mail
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
Thomas Lumley Assoc. Professor, Biostatistics
tlumley at u.washington.edu University of Washington, Seattle
More information about the R-help
mailing list