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Autocorrelation Function 2 d=1 D=1

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 10 Dec 2007 12:40:13 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2007/Dec/10/t11973147895hv17f2a1nv730z.htm/, Retrieved Mon, 10 Dec 2007 20:26:30 +0100

User-defined keywords:

Dataseries X:

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106,22 106,31 107,38 109,31 110,82 111,22 110,66 110,76 110,69 111,08 110,97 110,24 112,51 111,52 112,13 112,23 112,92 111,89 111,99 111,51 112,33 112,04 112,09 111,41 112,61 113,14 113,65 114,26 114,4 114,93 114,86 114,95 116,17 114,6 114,62 113,82 115,02 115,18 115,59 116,6 117,07 116,96 116,66 116,07 116,04 115,81 116,22 115,85 116,43 117,39 119,17 119,24 120,03 119,34 118,49 118,59 117,5 117,56 118,25 118,01

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 3 seconds R Server 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 6.8557 0 1 -0.166753 -1.1432 0.870627 2 0.234146 1.6052 0.057572 3 -0.020158 -0.1382 0.554661 4 -0.010971 -0.0752 0.529819 5 0.062075 0.4256 0.336184 6 -0.16645 -1.1411 0.8702 7 0.093526 0.6412 0.262259 8 -0.17317 -1.1872 0.879442 9 0.129188 0.8857 0.190154 10 -0.044102 -0.3024 0.61814 11 0.07876 0.54 0.295889 12 -0.219691 -1.5061 0.930636 13 -0.029648 -0.2033 0.580094 14 -0.124881 -0.8561 0.801869 15 -0.094003 -0.6445 0.738792 16 -0.034927 -0.2394 0.594099 17 -0.099277 -0.6806 0.750271 18 0.146212 1.0024 0.160646 19 -0.066485 -0.4558 0.674682 20 0.251798 1.7262 0.045437 21 0.038994 0.2673 0.395192 22 -0.078115 -0.5355 0.702595 23 0.041427 0.284 0.388826 24 -0.058358 -0.4001 0.654545 25 0.042904 0.2941 0.384975 26 -0.053512 -0.3669 0.642315 27 0.125822 0.8626 0.196371 28 0.010901 0.0747 0.470373 29 0.02554 0.1751 0.43088 30 0.026675 0.1829 0.42784 31 -0.116539 -0.799 0.785832 32 0.020757 0.1423 0.443724 33 -0.107357 -0.736 0.767306 34 -0.080569 -0.5524 0.708339 35 -0.038904 -0.2667 0.604571 36 -0.046601 -0.3195 0.624612 37 0.013803 0.0946 0.462506 38 0.005966 0.0409 0.483775 39 0.05642 0.3868 0.350327 40 -0.010546 -0.0723 0.528664 41 0.043521 0.2984 0.383369 42 -0.055873 -0.383 0.648294 43 0.001344 0.0092 0.496345 44 -0.03027 -0.2075 0.58175 45 -0.015268 -0.1047 0.541459 46 -0.007351 -0.0504 0.51999 47 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 -0.166753 -1.1432 0.870627 1 0.212241 1.4551 0.076151 2 0.049539 0.3396 0.367828 3 -0.06132 -0.4204 0.661941 4 0.049254 0.3377 0.368557 5 -0.145514 -0.9976 0.838208 6 0.030074 0.2062 0.418771 7 -0.098253 -0.6736 0.748064 8 0.082642 0.5666 0.286852 9 0.032544 0.2231 0.412207 10 0.059035 0.4047 0.343758 11 -0.266435 -1.8266 0.962941 12 -0.096369 -0.6607 0.743977 13 -0.110883 -0.7602 0.774528 14 -0.050322 -0.345 0.634181 15 -0.048125 -0.3299 0.628541 16 -0.014177 -0.0972 0.538508 17 0.092062 0.6311 0.265503 18 0.008241 0.0565 0.477592 19 0.134801 0.9241 0.180065 20 0.128982 0.8843 0.190529 21 -0.169159 -1.1597 0.873984 22 -0.040097 -0.2749 0.607698 23 -0.016662 -0.1142 0.545228 24 -0.008894 -0.061 0.52418 25 -0.00282 -0.0193 0.50767 26 0.112412 0.7707 0.222384 27 0.019641 0.1347 0.446731 28 -0.075818 -0.5198 0.697173 29 -0.055707 -0.3819 0.647875 30 -0.163746 -1.1226 0.866342 31 0.063278 0.4338 0.333204 32 0.079373 0.5442 0.294454 33 -0.110878 -0.7601 0.774517 34 0.018075 0.1239 0.450956 35 -0.0209 -0.1433 0.55666 36 -0.037667 -0.2582 0.601322 37 -0.040898 -0.2804 0.609792 38 0.066145 0.4535 0.32615 39 0.00963 0.066 0.473821 40 0.001133 0.0078 0.496919 41 -0.007384 -0.0506 0.52008 42 -0.030802 -0.2112 0.583166 43 -0.031688 -0.2172 0.58552 44 -0.047438 -0.3252 0.626771 45 -0.098785 -0.6772 0.749212 46 NA NA NA 47 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t11973147895hv17f2a1nv730z/1parg1197315608.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t11973147895hv17f2a1nv730z/1parg1197315608.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t11973147895hv17f2a1nv730z/2l4w81197315608.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2007/Dec/10/t11973147895hv17f2a1nv730z/2l4w81197315608.ps (open in new window)

Parameters:

par1 = 48 ; par2 = 1.2 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF') 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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