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ARMA proces WS5 Q2: 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 11:57:23 -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/t1228762673ucwxsqn92gzzejb.htm/, Retrieved Mon, 08 Dec 2008 18:57:53 +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/t1228762673ucwxsqn92gzzejb.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] 
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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

ARMA proces WS5 Q2: ACF

Dataseries X:

» Textbox « » Textfile « » CSV «

235.1 280.7 264.6 240.7 201.4 240.8 241.1 223.8 206.1 174.7 203.3 220.5 299.5 347.4 338.3 327.7 351.6 396.6 438.8 395.6 363.5 378.8 357 369 464.8 479.1 431.3 366.5 326.3 355.1 331.6 261.3 249 205.5 235.6 240.9 264.9 253.8 232.3 193.8 177 213.2 207.2 180.6 188.6 175.4 199 179.6 225.8 234 200.2 183.6 178.2 203.2 208.5 191.8 172.8 148 159.4 154.5 213.2 196.4 182.8 176.4 153.6 173.2 171 151.2 161.9 157.2 201.7 236.4 356.1 398.3 403.7 384.6 365.8 368.1 367.9 347 343.3 292.9 311.5 300.9 366.9 356.9 329.7 316.2 269 289.3 266.2 253.6 233.8 228.4 253.6 260.1 306.6 309.2 309.5 271 279.9 317.9 298.4 246.7 227.3 209.1 259.9 266 320.6 308.5 282.2 262.7 263.5 313.1 284.3 252.6 250.3 246.5 312.7 333.2 446.4 511.6 515.5 506.4 483.2 522.3 509.8 460.7 405.8 375 378.5 406.8 467.8 469.8 429.8 355.8 332.7 378 360.5 334.7 319.5 323.1 363.6 352.1 411.9 388.6 416.4 360.7 338 417.2 388.4 371.1 331.5 353.7 396.7 447 533.5 565.4 542.3 488.7 467.1 531.3 496.1 444 403.4 386.3 394.1 404.1 462.1 448.1 432.3 386.3 395.2 421.9 382.9 384.2 345.5 323.4 372.6 376 462.7 487 444.2 399.3 394.9 455.4 414 375.5 347 339.4 385.8 378.8 451.8 446.1 422.5 383.1 352.8 445.3 367.5 355.1 326.2 319.8 331.8 340.9 394.1 417.2 369.9 349.2 321.4 405.7 342.9 316.5 284.2 270.9 288.8 278.8 324.4 310.9 299 273 279.3 359.2 305 282.1 250.3 246.5 257.9 266.5 315.9 318.4 295.4 266.4 245.8 362.8 324.9 294.2 289.5 295.2 290.3 272 307.4 328.7 292.9 249.1 230.4 361.5 321.7 277.2 260.7 251 257.6 241.8 287.5 292.3 274.7 254.2 230 339 318.2 287 295.8 284 271 262.7 340.6 379.4 373.3 355.2 338.4 466.9 451 422 429.2 425.9 460.7 463.6 541.4 544.2 517.5 469.4 439.4 549 533 506.1 484 457 481.5 469.5 544.7 541.2 521.5 469.7 434.4 542.6 517.3 485.7 465.8 447 426.6 411.6 467.5 484.5 451.2 417.4 379.9 484.7 455 420.8 416.5 376.3 405.6 405.8 500.8 514 475.5 430.1 414.4 538 526 488.5 520.2 504.4 568.5 610.6 818 830.9 835.9 782 762.3 856.9 820.9 769.6 752.2 724.4 723.1 719.5 817.4 803.3 752.5 689 630.4 765.5 757.7 732.2 702.6 683.3 709.5 702.2 784.8 810.9 755.6 656.8 615.1 745.3 694.1 675.7 643.7 622.1 634.6 588 689.7 673.9 647.9 568.8 545.7 632.6 643.8 593.1 579.7 546 562.9 572.5

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.154771	2.9325	0.001789
2	0.28179	5.3391	0
3	0.184048	3.4872	0.000274
4	0.123286	2.3359	0.010022
5	0.145779	2.7621	0.003019
6	0.054995	1.042	0.149057
7	-0.04204	-0.7965	0.213123
8	-0.000573	-0.0108	0.495675
9	-0.079745	-1.511	0.06584
10	-0.169677	-3.2149	0.000712
11	-0.031115	-0.5895	0.277934
12	-0.466241	-8.834	0
13	-0.160165	-3.0347	0.001292
14	-0.163861	-3.1047	0.001028
15	-0.144938	-2.7462	0.003167
16	-0.156891	-2.9727	0.001576
17	-0.130111	-2.4653	0.007079
18	-0.104923	-1.988	0.023785
19	0.015515	0.294	0.384477
20	0.012254	0.2322	0.408263
21	-0.023836	-0.4516	0.325902
22	0.004867	0.0922	0.463292
23	-0.020275	-0.3842	0.350547
24	0.000173	0.0033	0.498692
25	0.111728	2.1169	0.017476
26	0.028983	0.5492	0.29162
27	0.056469	1.0699	0.142684
28	0.104398	1.9781	0.024343
29	0.038219	0.7242	0.234721
30	0.056913	1.0783	0.140803
31	0.031653	0.5997	0.274531
32	-0.076466	-1.4488	0.074129
33	0.010598	0.2008	0.420482
34	-0.011294	-0.214	0.415336
35	-0.083718	-1.5862	0.056784
36	-0.042666	-0.8084	0.209694
37	-0.102401	-1.9402	0.026568
38	-0.020948	-0.3969	0.345837
39	-0.062518	-1.1845	0.118491
40	-0.103019	-1.9519	0.025862
41	-0.103343	-1.9581	0.025498
42	-0.029705	-0.5628	0.28695
43	-0.165536	-3.1365	0.000926
44	0.030984	0.5871	0.278768
45	-0.029132	-0.552	0.290655
46	0.023277	0.441	0.329729
47	0.067925	1.287	0.099464
48	0.078109	1.48	0.069881
49	0.102234	1.937	0.026762
50	0.076353	1.4467	0.074429
51	0.074565	1.4128	0.079289
52	0.150815	2.8575	0.002259
53	0.193056	3.6579	0.000146
54	0.020097	0.3808	0.351792
55	0.168998	3.2021	0.000743
56	0.023075	0.4372	0.331114
57	0.057895	1.097	0.136698
58	0.051955	0.9844	0.162788
59	0.01713	0.3246	0.372847
60	-0.018682	-0.354	0.361786

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.154771	2.9325	0.001789
2	0.264163	5.0052	0
3	0.122334	2.3179	0.010508
4	0.021052	0.3989	0.345113
5	0.060079	1.1383	0.12787
6	-0.021362	-0.4048	0.342948
7	-0.126305	-2.3931	0.008609
8	-0.029116	-0.5517	0.29076
9	-0.059804	-1.1331	0.12896
10	-0.159972	-3.031	0.001307
11	0.046428	0.8797	0.189811
12	-0.412411	-7.8141	0
13	-0.059522	-1.1278	0.130085
14	0.08311	1.5747	0.058102
15	0.039387	0.7463	0.227993
16	-0.071159	-1.3483	0.089209
17	0.006751	0.1279	0.449143
18	0.003211	0.0608	0.475762
19	0.038723	0.7337	0.231807
20	0.076867	1.4564	0.073076
21	-0.056412	-1.0689	0.142927
22	-0.149328	-2.8294	0.002463
23	0.000345	0.0065	0.497393
24	-0.23942	-4.5364	4e-06
25	0.056744	1.0751	0.141516
26	0.03746	0.7098	0.239158
27	0.016754	0.3174	0.375546
28	0.02053	0.389	0.348758
29	-0.008507	-0.1612	0.43602
30	-0.036388	-0.6894	0.245494
31	0.042029	0.7963	0.213182
32	-0.069196	-1.3111	0.095334
33	-0.062695	-1.1879	0.117829
34	-0.082502	-1.5632	0.059444
35	-0.093845	-1.7781	0.038116
36	-0.201974	-3.8269	7.7e-05
37	0.02489	0.4716	0.318751
38	0.063369	1.2007	0.115335
39	-0.05015	-0.9502	0.171324
40	-0.040929	-0.7755	0.219278
41	-0.079629	-1.5087	0.066121
42	0.011705	0.2218	0.412303
43	-0.103599	-1.9629	0.025214
44	0.009725	0.1843	0.426954
45	-0.041905	-0.794	0.213864
46	-0.010004	-0.1895	0.424887
47	-0.024678	-0.4676	0.320182
48	-0.054019	-1.0235	0.153377
49	0.050465	0.9562	0.169812
50	0.034676	0.657	0.255794
51	-0.029533	-0.5596	0.288061
52	0.074536	1.4122	0.079372
53	0.033294	0.6308	0.264279
54	-0.086768	-1.644	0.050524
55	-0.033736	-0.6392	0.261549
56	-0.056455	-1.0697	0.142742
57	-0.073319	-1.3892	0.082816
58	0.026122	0.4949	0.310472
59	0.00442	0.0837	0.466656
60	-0.035089	-0.6649	0.253287

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762673ucwxsqn92gzzejb/1xl551228762638.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762673ucwxsqn92gzzejb/1xl551228762638.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762673ucwxsqn92gzzejb/27so51228762638.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762673ucwxsqn92gzzejb/27so51228762638.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.0 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.0 ; 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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