From pgilbert at bank-banque-canada.ca  Tue Sep 11 18:01:16 2007
From: pgilbert at bank-banque-canada.ca (Paul Gilbert)
Date: Tue, 11 Sep 2007 12:01:16 -0400
Subject: [Rd] partial correlation function for multivariate time series
In-Reply-To: <3c12769c0709100805r4ca5785bq3a932665c82084fd@mail.gmail.com>
References: <3c12769c0709100805r4ca5785bq3a932665c82084fd@mail.gmail.com>
Message-ID: <46E6BBCC.5040907@bank-banque-canada.ca>

I think the reference for pacf is

@BOOK{GraNew77,
   author =    {Granger, C. W. J. and Newbold, Paul},
   title =     {Forecasting Economic Time Series},
   publisher = {Academic Press},
   year =      1977
   }

It certainly would not be Reisel's book, as parts of the code predate 
that by many years.

Paul Gilbert

Simone Giannerini wrote:
> Dear all,
> 
> I found the following behaviour with pacf() in the multivariate case,
> 
> set.seed(10)
> x <- rnorm(1000,sd=10000)
> y <- rnorm(1000,sd=1)
> pacf(ts(cbind(x,y)),plot=FALSE,lag.max=10)
> 
> Partial autocorrelations of series 'cbind(x, y)', by lag
> 
> , , x
> 
>  x              y
>     0.047 (  1)    0.000 ( -1)
>     0.011 (  2)    0.000 ( -2)
>     0.005 (  3)    0.000 ( -3)
>     0.013 (  4)    0.000 ( -4)
>     0.050 (  5)    0.000 ( -5)
>     0.034 (  6)    0.000 ( -6)
>     0.026 (  7)    0.000 ( -7)
>    -0.029 (  8)    0.000 ( -8)
>    -0.010 (  9)    0.000 ( -9)
>    -0.013 ( 10)    0.000 (-10)
> 
> , , y
> 
>  x              y
>   374.052 (  1)   -0.045 (  1)
>    66.717 (  2)   -0.024 (  2)
>  -535.810 (  3)   -0.031 (  3)
>   120.802 (  4)   -0.020 (  4)
>   142.824 (  5)    0.004 (  5)
>  -211.711 (  6)   -0.010 (  6)
>   201.856 (  7)    0.058 (  7)
>   286.079 (  8)   -0.035 (  8)
>  -134.057 (  9)    0.032 (  9)
>   -18.200 ( 10)    0.019 ( 10)
> 
> Since there are multiple ways of defining the pacf for multivariate time
> series
> (see e.g. G.C. Reinsel, Elements of multivariate time series analysis, II
> edition, Springer, section 3.3) and given that
> in ?pacf there is no reference to articles or books regarding its
> computation
> I do not know whether this behaviour is expected or it is a bug instead.
> In the first case could you provide a reference for it? In the second case I
> might file a bug report.
> Thank you for the great work you are doing for the scientific community.
> 
> kind regards,
> 
> Simone Giannerini
> 
> WINDOWS
> 
> platform       i386-pc-mingw32
> arch           i386
> os             mingw32
> system         i386, mingw32
> status
> major          2
> minor          5.1
> year           2007
> month          06
> day            27
> svn rev        42083
> language       R
> version.string R version 2.5.1 (2007-06-27)
> 
> LINUX
> 
> 
>>R.Version()
> 
> $platform
> [1] "x86_64-unknown-linux-gnu"
> 
> $arch
> [1] "x86_64"
> 
> $os
> [1] "linux-gnu"
> 
> $system
> [1] "x86_64, linux-gnu"
> 
> $status
> [1] ""
> 
> $major
> [1] "2"
> 
> $minor
> [1] "5.1"
> 
> $year
> [1] "2007"
> 
> $month
> [1] "06"
> 
> $day
> [1] "27"
> 
> $`svn rev`
> [1] "42083"
> 
> $language
> [1] "R"
> 
> $version.string
> [1] "R version 2.5.1 (2007-06-27)"
====================================================================================

La version fran?aise suit le texte anglais.

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[Rd] partial correlation function for multivariate time series
Paul Gilbert