[R] acf gives correlations > 1

[Steve Jones]

Apologies for the missing data. It can be downloaded from here (22Kb):
http://www.squaregoldfish.co.uk/sekrett/series.csv

Steve.

Duncan Murdoch wrote:
> 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


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