R help - Sep 2009 - acf gives correlations > 1

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.

Thanks in advance,
Steve.
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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