Did you check the MASS reference given above in the thread? If you want to see the source, it's here: http://svn.r-project.org/R/trunk/src/library/stats/src/filter.c (best I can tell)
Michael On Mon, Dec 5, 2011 at 2:24 PM, Bazman76 <h_a_patie...@hotmail.com> wrote: > Hi there, > > I am wondering how R calculates the acf too? > > I have a data set of approx 1500 returns when I calculate the lag 1 > autocorrelation in excel I get a value of -0.4 but in R its approximately > -0.18? > > I have cross checked with PC give and PC give agrees with excel? > > I'm sure its just some kind of scaling but it would be nice to resolve this > discrepency! > > Baz > > -- > View this message in context: > http://r.789695.n4.nabble.com/a-question-on-autocorrelation-acf-tp2076280p4161818.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
