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Paper - ACF (3)

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Fri, 04 Dec 2009 10:22:42 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/04/t1259947399atc24xzyw9me8vx.htm/, Retrieved Fri, 24 May 2013 22:28:35 +0000

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

System-generated keywords (parent):

t12591853079wsmlljcl1b13j1 (pk = 59654)

Estimated Impact

Dataseries X:

» Textfile « » CSV « » Stem and Leaf « » Histogram « » Kernel Density « » Harrell-Davis Quantiles « » Central Tendency « » Variability «

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.072326	-0.5412	0.295245
2	0.340088	2.545	0.006855
3	-0.010209	-0.0764	0.469688
4	0.273962	2.0501	0.022521
5	0.129891	0.972	0.167611
6	0.018499	0.1384	0.445196
7	0.131201	0.9818	0.165207
8	-0.094739	-0.709	0.240644
9	0.281035	2.1031	0.019983
10	0.010997	0.0823	0.467354
11	0.323179	2.4184	0.009432
12	-0.198264	-1.4837	0.071751
13	0.155991	1.1673	0.124011
14	0.127095	0.9511	0.172822
15	0.116901	0.8748	0.192708
16	-0.061705	-0.4618	0.323021
17	-0.035112	-0.2628	0.396852
18	0.049341	0.3692	0.356672
19	-0.004862	-0.0364	0.485554
20	0.059271	0.4435	0.32954
21	-0.100211	-0.7499	0.228225
22	-0.023832	-0.1783	0.429547
23	-0.131591	-0.9847	0.164494
24	-0.013957	-0.1044	0.458595
25	-0.057215	-0.4282	0.33509
26	-0.158498	-1.1861	0.120297
27	-0.207639	-1.5538	0.06293
28	-0.070272	-0.5259	0.300529
29	-0.136052	-1.0181	0.156499
30	-0.091694	-0.6862	0.247718
31	-0.060622	-0.4537	0.325916
32	-0.099444	-0.7442	0.229943
33	0.03117	0.2333	0.408206
34	-0.098093	-0.7341	0.232988
35	-0.017303	-0.1295	0.448718
36	-0.084716	-0.634	0.264346

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.072326	-0.5412	0.295245
2	0.336618	2.519	0.007325
3	0.034527	0.2584	0.398532
4	0.182529	1.3659	0.088712
5	0.174402	1.3051	0.098597
6	-0.11601	-0.8681	0.194512
7	0.041903	0.3136	0.377505
8	-0.132368	-0.9905	0.163083
9	0.180067	1.3475	0.091623
10	0.132538	0.9918	0.162776
11	0.235027	1.7588	0.042039
12	-0.214577	-1.6057	0.056978
13	-0.113118	-0.8465	0.200439
14	0.180253	1.3489	0.091401
15	0.039685	0.297	0.383793
16	-0.177439	-1.3278	0.094811
17	-0.000518	-0.0039	0.498461
18	-0.03758	-0.2812	0.389787
19	-0.002793	-0.0209	0.491699
20	-0.041947	-0.3139	0.377381
21	-0.046457	-0.3476	0.364704
22	-0.07578	-0.5671	0.28646
23	-0.072672	-0.5438	0.294359
24	-0.168804	-1.2632	0.105873
25	-0.051564	-0.3859	0.350528
26	-0.012944	-0.0969	0.461589
27	-0.128702	-0.9631	0.169815
28	-0.097458	-0.7293	0.234426
29	-0.111991	-0.8381	0.20278
30	0.017575	0.1315	0.447919
31	0.184669	1.3819	0.086239
32	0.021889	0.1638	0.43524
33	0.109287	0.8178	0.20846
34	-0.008202	-0.0614	0.475638
35	-0.05999	-0.4489	0.32761
36	0.05544	0.4149	0.339908

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259947399atc24xzyw9me8vx/1r0ta1259947361.png (opens in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259947399atc24xzyw9me8vx/1r0ta1259947361.ps (opens in new window)

Click here to open pdf file.

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259947399atc24xzyw9me8vx/2g73x1259947361.png (opens in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259947399atc24xzyw9me8vx/2g73x1259947361.ps (opens in new window)

Click here to open pdf file.

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {
par1 = 10*log10(length(x))
} else {
par1 <- as.numeric(par1)
}
par2 <- as.numeric(par2)
par3 <- as.numeric(par3)
par4 <- as.numeric(par4)
par5 <- as.numeric(par5)
if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'
par7 <- as.numeric(par7)
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='pic1.png')
racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')
dev.off()
(myacf <- c(racf$acf))
(mypacf <- c(rpacf$acf))
lengthx <- length(x)
sqrtn <- sqrt(lengthx)
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 2:(par1+1)) {
a<-table.row.start(a)
a<-table.element(a,i-1,header=TRUE)
a<-table.element(a,round(myacf[i],6))
mytstat <- myacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:par1) {
a<-table.row.start(a)
a<-table.element(a,i,header=TRUE)
a<-table.element(a,round(mypacf[i],6))
mytstat <- mypacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')