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acf

*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, 05 Dec 2008 02:52:47 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228470853h4k35o63r35omq1.htm/, Retrieved Fri, 05 Dec 2008 09:54:13 +0000
 
BibTeX entries for LaTeX users:
@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2008/Dec/05/t1228470853h4k35o63r35omq1.htm/},
    year = {2008},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}
 
Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)
 
Feedback Forum:
2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message
 
Original text written by user:
 
IsPrivate?
No (this computation is public)
 
User-defined keywords:
acf
 
Dataseries X:
» Textbox « » Textfile « » CSV «
8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time3 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.3752882.88260.002747
2-0.208153-1.59890.057598
3-0.577943-4.43932e-05
4-0.449119-3.44970.000521
50.0026570.02040.491893
60.3664322.81460.003313
70.2754392.11570.019301
8-0.007539-0.05790.47701
9-0.241749-1.85690.034159
10-0.192298-1.47710.072487
110.0491360.37740.353608
120.3607222.77080.003734
130.0836280.64240.261564
14-0.067504-0.51850.303022
15-0.206104-1.58310.05937
16-0.119004-0.91410.182197
170.0185610.14260.443558
180.1740881.33720.093146
190.1172650.90070.185698
20-0.038054-0.29230.385543
21-0.129528-0.99490.161918
22-0.102141-0.78460.217925
23-0.013372-0.10270.459271
240.1312931.00850.158671
250.0143880.11050.456186
26-0.040794-0.31330.377562
27-0.092214-0.70830.24077
28-0.017221-0.13230.447609
290.0381710.29320.385201
300.0939860.72190.236598
310.0742750.57050.285246
32-0.069361-0.53280.298097
33-0.109098-0.8380.202706
34-0.079166-0.60810.272733
35-0.012488-0.09590.461954
360.1221630.93840.175944
370.0073230.05630.477665
38-0.065425-0.50250.308579
39-0.053426-0.41040.341508
400.048270.37080.356067
410.1166170.89580.187013
420.1152640.88540.189777
43-0.017537-0.13470.446651
44-0.195796-1.50390.068966
45-0.190869-1.46610.073966
46-0.076641-0.58870.279157
470.1085590.83390.203863
480.2298871.76580.041302
490.1225150.94110.175258
50-0.013286-0.1020.459532
51-0.103968-0.79860.213864
52-0.094883-0.72880.2345
53-0.032335-0.24840.402354
540.0310330.23840.406211
550.028860.22170.412665
560.007480.05750.477188
570.0031860.02450.49028
580.0005320.00410.498376
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3752882.88260.002747
2-0.406205-3.12010.001398
3-0.439995-3.37970.000646
4-0.204853-1.57350.060475
5-0.003737-0.02870.488597
60.0297860.22880.409911
7-0.193785-1.48850.070974
8-0.119016-0.91420.182172
9-0.073392-0.56370.287536
100.0004530.00350.498617
110.0288470.22160.412704
120.2741822.1060.019733
13-0.30234-2.32230.011843
140.1813181.39270.084463
150.0990310.76070.224942
160.0785170.60310.274376
17-0.108702-0.8350.203556
180.1001320.76910.222442
190.0915940.70350.242241
20-0.076809-0.590.278729
210.029010.22280.41222
22-0.006517-0.05010.480123
23-0.067439-0.5180.303194
24-0.069562-0.53430.297565
25-0.003911-0.030.488069
26-0.167026-1.28290.102264
27-0.084673-0.65040.258983
28-0.026034-0.20.421095
29-0.013661-0.10490.458393
30-0.147494-1.13290.130916
310.0837260.64310.261322
32-0.087654-0.67330.251698
33-0.031684-0.24340.404281
34-0.030995-0.23810.406324
350.0086850.06670.47352
360.0362720.27860.390759
37-0.203226-1.5610.061935
38-0.001584-0.01220.495167
390.0607530.46670.321232
400.0484520.37220.35555
410.0393430.30220.381782
420.10.76810.222742
43-0.061833-0.47490.318288
440.0031860.02450.49028
45-0.029014-0.22290.412207
46-0.062513-0.48020.31644
47-0.093012-0.71440.238887
48-0.041502-0.31880.375507
490.0884560.67940.249756
50-0.036084-0.27720.39131
510.0116620.08960.464464
52-0.017918-0.13760.445501
530.0298360.22920.409763
54-0.094232-0.72380.236022
550.0021480.01650.493445
560.0750380.57640.283276
57-0.04576-0.35150.363237
58-0.010979-0.08430.466539
59NANANA
60NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470853h4k35o63r35omq1/1r6vo1228470761.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470853h4k35o63r35omq1/1r6vo1228470761.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470853h4k35o63r35omq1/2qm0l1228470761.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228470853h4k35o63r35omq1/2qm0l1228470761.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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 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')
 




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