Displaying 20 results from an estimated 9000 matches similar to: "question about plot.acf"
2011 Aug 25
1
Autocorrelation using acf
Dear R list
As suggested by Prof Brian Ripley, I have tried to read acf literature. The main problem is I am not the statistician and hence have some problem in understanding the concepts immediately. I came across one literature (http://www.stat.nus.edu.sg/~staxyc/REG32.pdf) on auto-correlation giving the methodology. As per that literature, the auto-correlation is arrived at as per following.
2008 Jan 17
1
acf lag1 value
Hi R,
I have doubt.
>x= c(4,5,6,3,2,4,5)
>acf(x,plot=F,lag.max=1)
Autocorrelations of series 'x', by lag
0 1
1.000 0.182
But if I actually calculate the autocorrelation at lag1 I get,
>cor(x[-1],x[-length(x)])
[1] 0.1921538
Even in excel I get 0.1921538 value. So, I want to know what the 'acf'
function is calculating here....
2010 Jul 06
1
acf
Hi list,
I have the following code to compute the acf of a time series
acfresid <- acf(residfit), where residfit is the series
when I type acfresid at the prompt the follwoing is displayed
Autocorrelations of series ?residfit?, by lag
0.0000 0.0833 0.1667 0.2500 0.3333 0.4167 0.5000 0.5833 0.6667 0.7500 0.8333
1.000 -0.015 0.010 0.099 0.048 -0.014 -0.039 -0.019 0.040 0.018
2010 Sep 26
1
acf function
Hi,
Im new to R so this question is quite fundamental.
Im trying to compare some autocorrelations generated by the acf function to some theoretical correlations. How can I have acces to just the autocorrelations, for computation?
This is some of my code:
> acf.data<-c(acf(x))
> acf.data
This is the R output:
$acf
, , 1
[,1]
[1,] 1.000000000
[2,]
2009 Aug 05
2
acf Significance
Hi List,
I'm trying to calculate the autocorrelation coefficients for a time
series using acf at various lags. This is working well, and I can get
the coefficients without any trouble. However, I don't seem to be able
to obtain the significance of these coefficients from the returned acf
object, largely because I don't know where I might find them.
It's clear that the acf
2010 Apr 29
1
a question on autocorrelation acf
Hi R users,
where can I find the equations used by acf function to calculate
autocorrelation? I think I misunderstand acf. Doesn't acf use following
equation to calculate autocorrelation?
[image: R(\tau) = \frac{\operatorname{E}[(X_t - \mu)(X_{t+\tau} -
\mu)]}{\sigma^2}\, ,]
If it does, then the autocorrelation of a sine function should give a
cosine; however, the following code gives a
2006 Oct 02
1
CCF and ACF
Dear all,
given two numeric vectors x and y, the ACF(x) at lag k is
cor(x(t),x(t+k)) while the CCF(x,y) at lag k is cor(x(t),y(t-k)). See
below for a simple example.
> set.seed(1)
> x <- rnorm(10)
> y <- rnorm(10)
> x
[1] -0.6264538 0.1836433 -0.8356286 1.5952808 0.3295078 -0.8204684
0.4874291 0.7383247 0.5757814 -0.3053884
> y
[1] 1.51178117 0.38984324
2010 Jul 22
0
Please advise acf and pacf in order to determine order of Arima
I have data as below.Please let me know how the ACF and Pacf used to
determine the order od arima model.
Is there any rules need to be followed to determine order.Please advise
> turkey.price.ts
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2001 1.58 1.75 1.63 1.45 1.56 2.07 1.81 1.74 1.54 1.45 0.57 1.15
2002 1.50 1.66 1.34 1.67 1.81 1.60 1.70 1.87 1.47 1.59 0.74 0.82
2008 Oct 08
0
partial autocorrelation plots ACF type=p
Dear users,
I have two continuous variables which are two different measures taken each
year from 1975 to 2005. I want to see if the two variables are correlated
but need to take into account the fact that they are a time series. I have
been following an example from 'The R Book' where you plot the ACF:
par(mfrow=c(1,1)
acf(cbind(x,y))
and this appeared to work fine, producing four
2010 Apr 17
2
interpreting acf plot
Hello,
I am attending a course in Computational Statistics at ETH and in one of the assignments I am asked to prove that a time series is not autocorrelated using the R function "acf".
I tried out the acf function with the given data, according to what I found here: http://landshape.org/enm/options-for-acf-in-r/ this test data does not look IID but rather shows some trends so how can I
2008 Nov 20
1
different ACF results
Dear all,
I have one Model (M3) fitted using the lme package, and I have
checked the correlation structure of within-group errors using
plot(ACF (M3,maxLag=10),alpha=0.05)
But now I am not sure how to interpret this plot for the empirical
autocorrelation function.
The problem is that I am used to see/interpret diagrams in which all
the autocorrelation Lags, except lag-1, are inside the
2008 May 08
2
acf function
Dear all,
I have an annual time-series of population numbers and I would like to
estimate the auto-correlation. Can I use acf() function and judge
whether auto-correlation is significant by the plots? The acf array, eg:
Autocorrelations of series 'x$log.s.r', by lag
0 1 2 3 4 5 6 7 8 9
10 11 12
1.000 0.031 -0.171
2005 Oct 10
1
acf.plot() question
When I run the "acf()" function using the "acf(ts.union(mdeaths,
fdeaths))" example, the "acf()" function calls the "acf.plot()"
function to generate this plot...
http://members.cox.net/ddebarr/images/acf_example.png
The plot in the lower right-hand corner is labeled "fdeaths & mdeaths",
but the negative lags appear to belong to "mdeaths
2011 Aug 24
1
Autocorrelation using library(tseries)
Dear R list
I am trying to understand the auto-correlation concept. Auto-correlation is the self-correlation of random variable X with a certain time lag of say t.
The article "http://www.mit.tut.fi/MIT-3010/luentokalvot/lk10-11/MDA_lecture16_11.pdf" (Page no. 9 and 10) gives the methodology as under.
Suppose you have a time series observations as say
X =
2004 Mar 09
2
corARMA and ACF in nlme
Hi R-sters,
Just wondering what I might be doing wrong. I'm trying to fit a multiple
linear regression model, and being ever mindful about the possibilities of
autocorrelation in the errors (it's a time series), the errors appear to
follow an AR1 process (ar(ts(glsfit$residuals)) selected order 1). So,
when I go back and try to do the simultaneous regression and error fit with
gls,
2006 Apr 27
0
What are the differences between ACF and PACF in time seriesanalysis?
Hello Michael,
see as an online resource:
http://www.statsoft.com/textbook/sttimser.html or get hold on a time
series analysis textbook, like one of the monographies written by
Hamilton; Luetkepohl; Brockwell & Davis; Harvey or Box & Jenkins, to
name but a few.
In a nutshell, PACF 'eliminates' intermediate autocorrelations compared
to ACF, e.g. an AR(1) process will ordinarily
2008 Aug 06
1
using acf() for multiple columns
Hi everyone,
I'm trying to use the acf() function to calculate the autocorrelation of
each column in a matrix. The trouble is that I can only seem to get the
function to work if I extract the data in the column into a separate matrix
and then apply the acf() function to this column.
I have something like this: acf(mat,lag.max=10,na.action=na.pass)
...but I would really like to apply the
2010 Nov 07
1
When using ACF, receive error: no applicable method for 'ACF' applied to an object of class "c('double', 'numeric')"
I am guessing this is a very simple question, but this is only my second day
with R so it is all still a bit imposing.
I am trying to run an autocorrelation.
I imported a CSV file, which has one column labeled "logistic".
I ran the command:
ACF(data$logistic,maxLag=10)
However, I received the error:
Error in UseMethod("ACF") :
no applicable method for 'ACF'
2009 Sep 14
1
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,
2009 Oct 08
1
acf for a univariate time series in a data frame
hi everyone!
i want to check the autocorrelation function for a univariate time series
(streamflow) in a data frame as below:
< DF <- read.table("D:/file path....")
< DF
year jan feb mar apr ...... dec
1966 0.504 0.406 0.740 0.241 0.429
1967 0.683 0.529 0.780 0.443 0.503
.
.
.
.
what i first tried is:
acf (DF, plot = TRUE)