Linked Questions
24 questions linked to/from Understanding this acf output
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Autocorrelation of simple sine wave in R [duplicate]
Trying to self teach a bit about autocorrelation. For a simple sine wave, I am surprised that the acf() function in R outputs a curve that converges to 0. From my ...
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1
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374
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Autocorrelation Algorithm [duplicate]
I'm trying to understand the autocorrelation better and wrote an auto correlation function based on the algorithm suggested in the correlogram wiki-page (https://en.wikipedia.org/wiki/Correlogram), I ...
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Is this the correct computation of autocorrelation for lag=1? [duplicate]
I want to compute the autocorrelation for the series {1,2,3,4,5} at lag k=1.
I step through the calculation in tabular format.
...
- 2,125
17
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2
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10k
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Formula for autocorrelation in R vs. Excel
I am trying to figure out how R computes lag-k autocorrelation (apparently, it is the same formula used by Minitab and SAS), so that I can compare it to using Excel's CORREL function applied to the ...
- 1,196
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3
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Library routine for rolling window lag 1 autocorrelation?
I am looking for a library routine that will calculate the lag 1 autocorrelation of a time series with a rolling window; meaning "slide a window of size N points along the time series, calculate the ...
- 97
3
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3
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7k
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Covariance of timeseries [duplicate]
If I have data on a time series with the following structure
Day Value, p
1 1.2
2 2.1
3 4.0
4 3.2
How do I calculate the first order ...
- 133
11
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1
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"Manual" calculation of ACF of a time series in R - close but not quite
I'm trying to understand the "mechanism" behind the calculation of ACF values in a time series. As a "prove-it-to-myself exercise" [NOTE: I updated the code in this link to reflect the information in ...
- 26.9k
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2
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How to calculate the ccf (cross-correlation) function mannually when one time series contains NA in R?
I have two time series, for example:
a = c(2, 1, 2, 1, 2, 1, 2)
b = c(NA, NA, 1, 2, 1, 2, 1)
ccf(a, b, na.action=na.omit, plot=FALSE)
The results of ccf shows ...
- 31
5
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1
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Interpretation of the autocorrelation of a binary process
Every second, a device returns the value 0 or 1. The values were recorded several hours, so a list like this one [1,1,1,0,0,1,0,1,...] was obtained.
What is the meaning of the corresponding ...
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1
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Cross-correlation in Matlab
What is the difference between:
1) xcov(x,y,10,'unbiased')/sqrt(xcov(x,x,0,'unbiased')*xcov(y,y,0,'unbiased'));
2) xcorr(x,y,10,'unbiased');
3) [A, B] = crosscorr(x,y,10);
?
I think (but I am not ...
user40899
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2
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How to calculate the autocorrelation coefficient of multi-dimensional time series
The autocorrelation coefficient formula of one-dimensional time series is as belows:
$r_k = {\sum\limits^{n-k}_{l=1}}(x_1-\bar x)(x_{l+k}-\bar x)/{\sum\limits^n_{l=1}}(x_l-\bar x)^2$
I want to know ...
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3
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0
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3k
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Proper normalized cross-correlation
I'm confused with the widely used approach to compute the normalized cross-correlation which is something like this:
Standardize the argument vectors (of equal length $n$).
Slide one over the other ...
- 281
1
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2
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648
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Correlation Coefficient for lag $k$ in Time Series Data
Formula of Pearson Correlation Coefficient is :
$$r_{xy}=\frac{\sum_{i=1}^{n}(x_i-\bar x)(y_i-\bar y)}{\sqrt{\sum_{i=1}^{n}(x_i-\bar x)^2}\sqrt{\sum_{i=1}^{n}(y_i-\bar y)^2}}$$
In Time series ...
- 1,617
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0
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Proper way of computing auto-correlation
What is the proper way of calculating the auto-correlation of a limited length real valued data series?
Searching books and the web one can find two different methods for calculating the auto-...
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R: understanding the acf() function
Studying autocorrelation using R I ran into a brief exposure by Ryan Sheehy named Autocorrelation in R. In this exposure, the topic and the use of the function acf()...
