Comments on: R, the acf function and statistical significance

By: squaregoldfish

squaregoldfish — Tue, 11 Jan 2011 12:02:30 +0000

@SimonH: It does use the length of the series, but with the NA values removed since they don’t contribute to the ACF.

The portion sum(!is.na(series)) does not add the values of the series, but counts the number of non-NA values within it.

If you want to total all the values of a series, you have to do sum(series, na.rm=TRUE).

Hope that makes things clearer.
Steve.

SimonH — Tue, 11 Jan 2011 11:51:54 +0000

Very handy, thanks for this.

Just one question: shouldn’t it be sqrt(length(series))

Sum seems to give me an inappropriately low value for the significance.

Tim — Sun, 04 Apr 2010 23:58:26 +0000

Thanks – quite useful