I started to check what I thought I knew with autocovariance and it doesnt
jive with the the calculations given by R. I was wondering if there is
some scaling or something that I am not aware of.
Take the example
Ø d <- 1:10
Ø (a <- acf(d, type="covariance", demean=FALSE, plot=FALSE))
Autocovariances of series d, by lag
0 1 2 3 4 5 6 7 8 9
38.5 33.0 27.6 22.4 17.5 13.0 9.0 5.6 2.9 1.0
But when I calculate it manually (for lag of 1) like:
Ø y1 <- d mean(d)
Ø dl <- c(d[-1], d[1])
Ø y2 <- dl mean(d)
Ø mean(y1*y2)
[1] 3.75
What am I missing to get this basic concept? Isnt it E[(Yt ut)(Ys us)]?
Thank you.
Kevin
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