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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: Mon, 08 Dec 2008 04:41:37 -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/08/t12287365500tbnvyxy23k9ys4.htm/, Retrieved Mon, 08 Dec 2008 11:42:32 +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/08/t12287365500tbnvyxy23k9ys4.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 «
92.66 94.2 94.37 94.45 94.62 94.37 93.43 94.79 94.88 94.79 94.62 94.71 93.77 95.73 95.99 95.82 95.47 95.82 94.71 96.33 96.5 96.16 96.33 96.33 95.05 96.84 96.92 97.44 97.78 97.69 96.67 98.29 98.2 98.71 98.54 98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time0 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.9207217.19110
20.8761656.84310
30.8331886.50740
40.7915656.18230
50.7478095.84060
60.7337185.73050
70.6480415.06142e-06
80.5988534.67728e-06
90.5502154.29733.2e-05
100.5049223.94360.000105
110.4600323.5930.000327
120.4455863.48010.000466
130.369872.88880.002673
140.3281532.5630.006431
150.2855382.23010.014715
160.2410291.88250.03227
170.1923561.50240.069083
180.1754281.37010.087833
190.1028830.80350.21239
200.0619660.4840.31507
210.0228920.17880.429347
22-0.018247-0.14250.443573
23-0.054301-0.42410.33649
24-0.060665-0.47380.318664
25-0.116154-0.90720.183939
26-0.146091-1.1410.129164
27-0.182002-1.42150.080135
28-0.214423-1.67470.049557
29-0.238133-1.85990.033863
30-0.243138-1.8990.03115
31-0.288397-2.25250.013952
32-0.308394-2.40860.009524
33-0.332085-2.59370.005936
34-0.348297-2.72030.004243
35-0.359421-2.80720.003351
36-0.355581-2.77720.003637
37-0.386697-3.02020.001843
38-0.394071-3.07780.001561
39-0.399195-3.11780.00139
40-0.403896-3.15450.001248
41-0.407896-3.18580.001138
42-0.39434-3.07990.001552
43-0.404776-3.16140.001223
44-0.394803-3.08350.001536
45-0.384011-2.99920.001957
46-0.378565-2.95670.002209
47-0.373242-2.91510.002483
48-0.354109-2.76570.003753
49-0.351768-2.74740.003944
50-0.32893-2.5690.00633
51-0.307453-2.40130.0097
52-0.284395-2.22120.01503
53-0.258165-2.01630.024087
54-0.223474-1.74540.042976
55-0.19914-1.55530.06252
56-0.162689-1.27060.10434
57-0.131146-1.02430.154874
58-0.101922-0.7960.214548
59-0.069945-0.54630.293431
60-0.030976-0.24190.404823


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.9207217.19110
20.1867631.45870.074894
30.0353150.27580.391808
40.001480.01160.495408
5-0.029608-0.23120.408948
60.173611.35590.090058
7-0.424845-3.31810.000766
80.071930.56180.288158
9-0.001176-0.00920.496352
100.0045860.03580.485771
110.0152780.11930.452705
120.0807290.63050.265356
13-0.209397-1.63540.053553
140.0175070.13670.445847
15-0.01344-0.1050.458373
16-0.053177-0.41530.339679
17-0.049155-0.38390.351189
180.0461730.36060.359814
19-0.144672-1.12990.131465
20-0.011705-0.09140.46373
210.0055450.04330.482798
22-0.037662-0.29420.38482
230.0496620.38790.34973
240.021110.16490.434794
25-0.078252-0.61120.271679
26-0.051816-0.40470.343559
27-0.088143-0.68840.2469
280.0076260.05960.476348
290.0436910.34120.367048
30-0.063853-0.49870.309888
31-0.027547-0.21510.415186
32-0.016034-0.12520.450378
33-0.026199-0.20460.419275
340.0348740.27240.393128
35-0.008663-0.06770.473137
36-0.046818-0.36570.357942
37-0.036167-0.28250.38927
38-0.014943-0.11670.453737
390.0324210.25320.400476
40-0.037192-0.29050.386218
41-0.0443-0.3460.365269
420.0208410.16280.435618
430.0453010.35380.36235
44-0.009051-0.07070.471936
450.0188710.14740.441655
46-0.054236-0.42360.336675
47-0.048618-0.37970.352736
48-0.007307-0.05710.477339
490.0352730.27550.391936
500.0251210.19620.422551
510.0206560.16130.436183
520.0606680.47380.318655
530.0335820.26230.396993
54-0.009861-0.0770.46943
550.0561980.43890.331135
560.0072750.05680.477438
57-0.010372-0.0810.46785
58-0.009756-0.07620.469756
590.0269070.21020.417125
600.0181140.14150.44398
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287365500tbnvyxy23k9ys4/1s0de1228736495.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287365500tbnvyxy23k9ys4/1s0de1228736495.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287365500tbnvyxy23k9ys4/2h3zk1228736495.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287365500tbnvyxy23k9ys4/2h3zk1228736495.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1.3 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1.3 ; par3 = 0 ; 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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