I think I found the pb for the variance case:
Apparently we compute the unbiased estimator of the variance with
"acf"
while Excel gives the biased one...
The covariance case must be related
-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Zebouni, Stephane
(Exchange)
Sent: 16 March 2006 08:23
To: r-help at stat.math.ethz.ch
Subject: [R] problem with "acf" function
Hi List,
Does anyone have ever check the results given by the "acf" function?
What formula does it do for lagged autocorrelations and lagged
cross-autocorrelation? My problem is that excel gives quite different
results (sometimes 10% different than acf). Anyone has encountered those
problems before?
Kind Regards
Stephane
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