I started to check what I thought I knew with autocovariance and it doesn’t
jive with the the calculations given by ‘R’. I was wondering if there is
some scaling or something that I am not aware of.

 

Take the example

 

Ų  d <- 1:10

Ų  (a <- acf(d, type="covariance", demean=FALSE, plot=FALSE))

 

Autocovariances of series ‘d’, by lag

 

   0    1    2    3    4    5    6    7    8    9 

38.5 33.0 27.6 22.4 17.5 13.0  9.0  5.6  2.9  1.0

 

But when I calculate it manually (for lag of 1) like:

 

Ų  y1 <- d – mean(d)

Ų  dl <- c(d[-1], d[1])

Ų  y2 <- dl – mean(d)

Ų  mean(y1*y2)

[1] 3.75

 

What am I missing to get this basic concept? Isn’t it E[(Yt – ut)(Ys – us)]?

 

Thank you.

 

Kevin


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