> 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.
>
***
Here is the result from S-Plus V.8.
> acf(1,lag.max=1,type="covariance",plot=F)
Call: acf(x = 1, lag.max = 1, type = "covariance", plot = F)
Autocovariances matrix:
lag X2
1 0 0
2 1 0
Their function does not support the demean option, so the variance is zero but
they set 0/0 to 0 instead
Hi Duncan,
ccf(x,y) does not explain whether c(k)=cov(x(t),x(t+k)) or
d(k)=cov(x(t),x(t-k)) is calculated. The following example demonstrates
that the c(k) definition is used:
ccf(c(-1,1,rep(0,8)),c(1,rep(0,9)))
However S-Plus acf uses the d(k) definition in their acf function.
For interpretiv
I don't think arima works exactly the way one would expect when there is
differencing. What I think should happen is that by
default the mean of the differenced series is estimated and if include.mean=F,
then it is not. This is not what happens. Instead
when there is differencing the include
