Reputation: 337
set.seed(1)
sample = rnorm(20,mean = 5,1)
x=acf(ts.intersect(ts(sample),ts(sample+.5*sample)))
When we look at the output for the above code, x[1,2] , corr between x,y and x[2,1] corr between y,x , it gives a different answer.
x[1,2]!=x[2,1] ; what am I missing?
Upvotes: 1
Views: 318
Reputation: 48251
In terms of the plot, perhaps you are missing the lag values: upper right plot has lags 0,...,10, while lower left one has lags -10,...,0. Then indeed i and -i lags coincide for i=0,...,10.
In terms of the x
object,
x[2,1]
# Autocorrelations of series ‘ts.intersect(ts(sample), ts(sample + 0.5 * sample))’, by lag
#
# 2
# -0.185
x[1,2]
# Autocorrelations of series ‘ts.intersect(ts(sample), ts(sample + 0.5 * sample))’, by lag
#
# 1
# -0.122
so that the first one corresponds to lag ±2, while the second one is lag ±1.
Upvotes: 1