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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 02:58:14 -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/t1228471163ysizf8h6lkapdbs.htm/, Retrieved Fri, 05 Dec 2008 09:59:24 +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/t1228471163ysizf8h6lkapdbs.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:

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 Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	1 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.453967	3.1122	0.001578
2	-0.042753	-0.2931	0.385367
3	-0.40219	-2.7573	0.004137
4	-0.542765	-3.721	0.000265
5	-0.233364	-1.5999	0.058165
6	0.042353	0.2904	0.38641
7	0.171373	1.1749	0.122982
8	0.228051	1.5634	0.062329
9	0.029046	0.1991	0.421511
10	-0.03534	-0.2423	0.40481
11	0.024417	0.1674	0.43389
12	0.011831	0.0811	0.467849
13	0.051815	0.3552	0.362005
14	-0.01701	-0.1166	0.45383
15	-0.095604	-0.6554	0.257695
16	-0.106176	-0.7279	0.23514
17	-0.129418	-0.8872	0.189733
18	0.004693	0.0322	0.487235
19	0.066166	0.4536	0.326097
20	0.137052	0.9396	0.176118
21	0.107772	0.7388	0.231836
22	-0.011787	-0.0808	0.467969
23	-0.050184	-0.344	0.366175
24	-0.082246	-0.5638	0.287769
25	-0.003782	-0.0259	0.489711
26	0.104814	0.7186	0.237983
27	-0.035762	-0.2452	0.403696
28	-0.09843	-0.6748	0.251554
29	-0.153817	-1.0545	0.148519
30	-0.092048	-0.631	0.265533
31	0.176861	1.2125	0.115691
32	0.233065	1.5978	0.058393
33	0.165601	1.1353	0.131002
34	0.057823	0.3964	0.346797
35	-0.16652	-1.1416	0.129701
36	-0.268142	-1.8383	0.036172
37	-0.152738	-1.0471	0.150201
38	-0.011227	-0.077	0.469489
39	0.159825	1.0957	0.139395
40	0.17755	1.2172	0.114799
41	0.122932	0.8428	0.201809
42	0.056416	0.3868	0.350337
43	-0.071017	-0.4869	0.314308
44	-0.133685	-0.9165	0.182042
45	-0.095241	-0.6529	0.258489
46	-0.052179	-0.3577	0.361077
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.453967	3.1122	0.001578
2	-0.313433	-2.1488	0.018417
3	-0.327424	-2.2447	0.014766
4	-0.313918	-2.1521	0.018278
5	0.089283	0.6121	0.271713
6	-0.096343	-0.6605	0.25608
7	-0.137796	-0.9447	0.174826
8	0.00948	0.065	0.474229
9	-0.153287	-1.0509	0.149344
10	0.05032	0.345	0.365827
11	0.115465	0.7916	0.216289
12	-0.013279	-0.091	0.463926
13	0.010265	0.0704	0.472097
14	-0.014993	-0.1028	0.459285
15	0.023056	0.1581	0.437543
16	-0.05947	-0.4077	0.342671
17	-0.095657	-0.6558	0.257577
18	0.047881	0.3283	0.372088
19	-0.108221	-0.7419	0.230913
20	0.094085	0.645	0.261027
21	-0.069372	-0.4756	0.318284
22	-0.043134	-0.2957	0.384377
23	0.031039	0.2128	0.416204
24	-0.018705	-0.1282	0.449256
25	0.129566	0.8883	0.189462
26	0.054099	0.3709	0.356196
27	-0.190977	-1.3093	0.098404
28	-0.024988	-0.1713	0.432358
29	-0.079623	-0.5459	0.29387
30	0.06077	0.4166	0.339426
31	0.109751	0.7524	0.227777
32	-0.035873	-0.2459	0.403402
33	-0.021251	-0.1457	0.442395
34	0.063473	0.4352	0.332722
35	0.070533	0.4836	0.315474
36	-0.18467	-1.266	0.10587
37	0.06902	0.4732	0.319138
38	0.030646	0.2101	0.41725
39	-0.013929	-0.0955	0.462165
40	0.03953	0.271	0.393787
41	0.072835	0.4993	0.309939
42	0.026198	0.1796	0.429118
43	-0.028378	-0.1946	0.423291
44	-0.033096	-0.2269	0.410744
45	0.05094	0.3492	0.364239
46	-0.091916	-0.6301	0.265825
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471163ysizf8h6lkapdbs/12x401228471092.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471163ysizf8h6lkapdbs/12x401228471092.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471163ysizf8h6lkapdbs/2kqf01228471092.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228471163ysizf8h6lkapdbs/2kqf01228471092.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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 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')

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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