[R] ACF normalization.

Prof Brian Ripley ripley at stats.ox.ac.uk
Tue Dec 22 10:58:02 CET 2009

On Tue, 22 Dec 2009, alok juneja wrote:

> Hi,
> My earlier email was sent as html so no visible properly. I am now posting it as text. Sorry for the duplication of the message.
> Can anyone please provide the formula used to compute ACF(nlme). I believe the one that is used in R is of the type mentioned on the website (http://www.itl.nist.gov/div898/handbook/eda/section3/autocopl.htm). Please correct me if I am wrong. The normalization of the numerator (Ch)
> has been done by 'N' where as I would like to do it by 'N-k'. Is there
> anyway in the present implementation of ACF to normalize it by 'N-k',
> where 'N' is the total number of observations and 'k' is the lag.

Please read the code for yourself:


whichever is appropriate.

> Best
> Alok
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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 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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