[R] cor() and lagged ts objects

Prof Brian D Ripley
Wed, 13 Feb 2002 20:15:50 -0000

On Wed, 13 Feb 2002, Dirk Eddelbuettel wrote:

>
> The following is internally consistent, but not intuitive:
>
> R : Copyright 2002, The R Development Core Team
> Version 1.4.1  (2002-01-30)
> [...]
> > library(ts)
> > x<-rnorm(100)			# white noise
> > xTS<-ts(x,start=1)		# as time series
> > xTSl<-lag(xTS,lag=-1)		# lagged once
> > cor(xTS,xTSl)			# Big surprise
> [1] 1
> > cor(cbind(xTS,xTSl),use="pairwise")	# what was really meant
>              xTS        xTSl
> xTS   1.00000000 -0.04080141
> xTSl -0.04080141  1.00000000
> >
>
> Is there any way cor() could know that the first call was nonsensical
(given
> the semantics of lag) and issue a warning?

cor() doesn't know about time series, does it?  I guess it could.

--
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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