When I try to use the TSA::prewhiten function from within a Sweave (or 
pgfSweave, the bug triggers either way it seems) code chunk inside a LyX 
document, I get this error:

20:35:49.417: Preview: Fontsize 10pt
20:35:49.418: Preview: PDFoutput 1
20:35:49.419: ! Misplaced alignment tab character &.
20:35:49.420: l.17 ...ale=1.20000004768372] (TeX) {\bfseries x &
20:35:49.421:                                                    y% 
20:35:49.422: Here is how much of TeX's memory you used:
20:35:49.428:  9510 strings out of 495061
20:35:49.429:  179132 string characters out of 1182621
20:35:49.430:  210888 words of memory out of 3000000
20:35:49.431:  12540 multiletter control sequences out of 15000+50000
20:35:49.432:  5179 words of font info for 16 fonts, out of 3000000 for 9000
20:35:49.433:  28 hyphenation exceptions out of 8191
20:35:49.439:  56i,3n,55p,425b,492s stack positions out of 
5000i,500n,10000p,200000b,50000s
20:35:49.440: 
20:35:49.441: !  ==> Fatal error occurred, no output PDF file produced!
20:35:49.442: Error in getMetricsFromLatex(TeXMetrics) : 
20:35:49.443: TeX was unable to calculate metrics for the following string
20:35:49.444: or character:
20:35:49.449: 
20:35:49.450:   x & y
20:35:49.451: 
20:35:49.452: Common reasons for failure include:
20:35:49.453:   * The string contains a character which is special to LaTeX 
unless
20:35:49.454:     escaped properly, such as % or $.
20:35:49.455:   * The string makes use of LaTeX commands provided by a package 
and
20:35:49.464:     the tikzDevice was not told to load the package.
20:35:49.466: 
20:35:49.468: The contents of the LaTeX log of the aborted run have been 
printed 
above,
20:35:49.471: it may contain additional details as to why the metric 
calculation 
failed.

Document that reproduces this error (requires a working R+Sweave+LyX setup with 
the 'TSA' R package from http://cran.r-project.org/web/packages/TSA/index.html):
#LyX 2.0 created this file. For more info see http://www.lyx.org/
\lyxformat 413
\begin_document
\begin_header
\textclass article
\use_default_options true
\begin_modules
sweave
\end_modules
\maintain_unincluded_children false
\language english
\language_package default
\inputencoding utf8
\fontencoding global
\font_roman default
\font_sans default
\font_typewriter default
\font_default_family default
\use_non_tex_fonts false
\font_sc false
\font_osf false
\font_sf_scale 100
\font_tt_scale 100

\graphics default
\default_output_format default
\output_sync 0
\bibtex_command default
\index_command default
\paperfontsize default
\spacing single
\use_hyperref false
\papersize default
\use_geometry false
\use_amsmath 1
\use_esint 1
\use_mhchem 1
\use_mathdots 1
\cite_engine basic
\use_bibtopic false
\use_indices false
\paperorientation portrait
\suppress_date false
\use_refstyle 1
\index Index
\shortcut idx
\color #008000
\end_index
\secnumdepth 3
\tocdepth 3
\paragraph_separation indent
\paragraph_indentation default
\quotes_language english
\papercolumns 1
\papersides 1
\paperpagestyle default
\tracking_changes false
\output_changes false
\html_math_output 0
\html_css_as_file 0
\html_be_strict false
\end_header

\begin_body

\begin_layout Chunk
<<explode,fig=true,height=3,width=5>>=
\end_layout

\begin_layout Chunk
library(TSA)
\end_layout

\begin_layout Chunk
data(bluebird)
\end_layout

\begin_layout Chunk
prewhiten(y=diff(bluebird)[,1],x=diff(bluebird)[,2],ylab='CCF')
\end_layout

\begin_layout Chunk
@
\end_layout

\end_body
\end_document

--Lucas


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