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btsl
2002 Feb 13
1
cor() and lagged ts objects
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...