[R] acf gives correlations > 1

[Duncan Murdoch]

On 14/09/2009 6:40 AM, Steve Jones wrote:
> Hi list,
> 
> I've been producing autocorrelation functions of time series using the
> acf function, and have found a series or two for which correlations of >
> 1 are given, which I think shouldn't happen.
> 
> Attached is the time series I'm using, and below is the R code (version
> 2.9.1) that I'm entering:
> 
> series <- read.csv("series.csv")
> corr <- acf(series, lag.max=90, na.action=na.pass, plot=T)
> 
> The first few values of corr are below:
> 
> 0   1.000
> 1   1.258
> 2   1.192
> 3   1.266
> 4   0.864
> 5   0.637
> 
> The entries of concern are 1-3 - surely these results are invalid?
> 
> I'd be grateful if you could shed any light on this for me.
> 

Your data file didn't show up.  (Some attachments are stripped; it's 
better to include data inline.)

Duncan Murdoch