From aim at stats.uwo.ca  Mon Nov 13 20:24:45 2006
From: aim at stats.uwo.ca (A.I. McLeod)
Date: Mon, 13 Nov 2006 14:24:45 -0500
Subject: [Rd] bug in acf (PR#9360)
References: <20061113153014.53F2E572ED@slim.kubism.ku.dk>
	<45589BB1.6050305@stats.uwo.ca>
Message-ID: <001901c70759$63690820$884c6481@stats2.uwo.ca>

> I don't think that's a reasonable expectation.  You've got an empty sum 
> in the formula for the lag 1 autocovariance:
> 
> sum_{i=1}^0 phi_i phi_{i+1}
> 
> R is assuming that's not what you meant and is reporting it as an error. 
>  If it gave you any value, it should be zero, not phi^2.
> 
********************************************
I agree the empty sum which is the lag 1 autocovariance should be zero but this is the SECOND term in $acf output.
For the first term,
1) if demean=F, it is variance which is phi^2 as I suggested
2) if demean=T, it is the variance/variance = 0/0 which I said should best be 1


----- Original Message ----- 
From: "Duncan Murdoch" <murdoch at stats.uwo.ca>
To: <aimcleod at uwo.ca>
Cc: <r-devel at stat.math.ethz.ch>; <R-bugs at biostat.ku.dk>
Sent: Monday, November 13, 2006 11:22 AM
Subject: Re: [Rd] bug in acf (PR#9360)


> On 11/13/2006 10:30 AM, aimcleod at uwo.ca wrote:
>> Full_Name: Ian McLeod
>> Version: 2.3.1
>> OS: Windows
>> Submission from: (NULL) (129.100.76.136)
>> 
>> 
>>> There is a simple bug in acf as shown below:
>>> 
>>> z <- 1
>>> acf(z,lag.max=1,plot=FALSE)
>>> Error in acf(z, lag.max = 1, plot = FALSE) :
>>>        'lag.max' must be at least 1
>>> 
>> This is certainly a bug.
> 
> I'd say it's a documentation bug, rather than a code bug.
>> 
>> There are two problems:
>> 
>> (i) the error message is wrong since lag.max is set to 1.  Perhaps, if the
>> function acf can not be used for in this situaiton, a different error message
>> would be more appropriate.  I understand why this might be done but I don't
>> think it is the best approach.
> 
> What happens is that lag.max is reduced to length(z)-1, which is zero in 
> your case.  This change should be mentioned in the documentation.
> 
>> (ii) Please look at the function GetB which is attached.  This is part a
>> computation for a fast algorithm for exact mle of mean.  Usually phi here are
>> the coefficients from a high order AR but when I tried for AR(1) I got the error
>> message.  So the workaround is given.  Notice that I use: 
>> 
>> p*as.vector(acf(phi,lag.max=p,type="covariance",demean=FALSE,plot=FALSE)$acf)
>> 
>> so what I expect to get when p=length(phi)=1 is just phi^2.  This is what
>> happens in Mathematica with ListCorrelate[{phi},{phi}].  When you have
>> acf="correlation" and demean=TRUE then one gets 0/0 which should be defined as 1
>> in this situation.
> 
> I don't think that's a reasonable expectation.  You've got an empty sum 
> in the formula for the lag 1 autocovariance:
> 
> sum_{i=1}^0 phi_i phi_{i+1}
> 
> R is assuming that's not what you meant and is reporting it as an error. 
>  If it gave you any value, it should be zero, not phi^2.
> 
> Duncan Murdoch
> 
>> 
>> Probably if the R authors just want to use acf for data analysis they may simply
>> choose to require length(x)>1 in acf(x,...) although I don't see the harm in my
>> suggestion either.



[Rd] bug in acf (PR#9360)
A.I. McLeod