ACF Step 2

*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 13:08:11 -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/t1228766919h69yykifecl67ot.htm/, Retrieved Mon, 08 Dec 2008 20:08:43 +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/t1228766919h69yykifecl67ot.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 «

7.8 7.6 7.5 7.6 7.5 7.3 7.6 7.5 7.6 7.9 7.9 8.1 8.2 8.0 7.5 6.8 6.5 6.6 7.6 8.0 8.0 7.7 7.5 7.6 7.7 7.9 7.8 7.5 7.5 7.1 7.5 7.5 7.6 7.7 7.7 7.9 8.1 8.2 8.2 8.1 7.9 7.3 6.9 6.6 6.7 6.9 7.0 7.1 7.2 7.1 6.9 7.0 6.8 6.4 6.7 6.7 6.4 6.3 6.2 6.5 6.8 6.8 6.5 6.3 5.9 5.9 6.4 6.4

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 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.88222 7.275 0 2 0.699958 5.772 0 3 0.513643 4.2356 3.5e-05 4 0.385766 3.1811 0.001106 5 0.357912 2.9514 0.002169 6 0.368092 3.0354 0.001701 7 0.370293 3.0535 0.001614 8 0.3583 2.9546 0.002149 9 0.346637 2.8584 0.002823 10 0.333035 2.7463 0.003853 11 0.335178 2.764 0.003671 12 0.337602 2.7839 0.003474 13 0.292403 2.4112 0.009303 14 0.237832 1.9612 0.026975 15 0.151597 1.2501 0.107774 16 0.074785 0.6167 0.269749 17 0.025693 0.2119 0.41642 18 -0.004381 -0.0361 0.485643 19 -0.024799 -0.2045 0.419289 20 -0.047208 -0.3893 0.34914 21 -0.067123 -0.5535 0.290864 22 -0.094527 -0.7795 0.219199 23 -0.118329 -0.9758 0.166321 24 -0.119455 -0.9851 0.164046 25 -0.123686 -1.0199 0.155685 26 -0.11128 -0.9176 0.181025 27 -0.110238 -0.909 0.183268 28 -0.120171 -0.991 0.16261 29 -0.143631 -1.1844 0.120187 30 -0.168922 -1.393 0.084083 31 -0.196428 -1.6198 0.054953 32 -0.205528 -1.6948 0.047342 33 -0.189624 -1.5637 0.061268 34 -0.165015 -1.3608 0.089043 35 -0.126435 -1.0426 0.15041 36 -0.101993 -0.8411 0.201633 37 -0.119631 -0.9865 0.163693 38 -0.14442 -1.1909 0.118913 39 -0.176309 -1.4539 0.075289 40 -0.178035 -1.4681 0.073342 41 -0.177877 -1.4668 0.073518 42 -0.183433 -1.5126 0.067504 43 -0.208673 -1.7208 0.044921 44 -0.238519 -1.9669 0.02664 45 -0.235765 -1.9442 0.028007 46 -0.208725 -1.7212 0.044882 47 -0.15385 -1.2687 0.10444 48 -0.096533 -0.796 0.214392 49 -0.087118 -0.7184 0.237488 50 -0.109476 -0.9028 0.18492 51 -0.160508 -1.3236 0.095037 52 -0.213869 -1.7636 0.041145 53 -0.242944 -2.0034 0.024562 54 -0.229825 -1.8952 0.03116 55 -0.207163 -1.7083 0.04607 56 -0.176294 -1.4538 0.075307 57 -0.139329 -1.1489 0.127304 58 -0.115063 -0.9488 0.173032 59 -0.085198 -0.7026 0.242363 60 -0.070082 -0.5779 0.282618 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.88222 7.275 0 2 -0.353444 -2.9146 0.002409 3 -0.053175 -0.4385 0.33121 4 0.165307 1.3632 0.088665 5 0.280786 2.3154 0.011807 6 -0.063658 -0.5249 0.300667 7 -0.089152 -0.7352 0.232384 8 0.091919 0.758 0.225541 9 0.181418 1.496 0.069638 10 -0.041451 -0.3418 0.366774 11 0.02026 0.1671 0.433907 12 0.02785 0.2297 0.409524 13 -0.184568 -1.522 0.066325 14 0.054742 0.4514 0.326564 15 -0.153206 -1.2634 0.105385 16 0.007995 0.0659 0.473815 17 -0.066156 -0.5455 0.293584 18 -0.035763 -0.2949 0.384482 19 -0.07949 -0.6555 0.257181 20 -0.04243 -0.3499 0.363754 21 0.016936 0.1397 0.44467 22 -0.068128 -0.5618 0.288051 23 -0.070464 -0.5811 0.28156 24 0.125751 1.037 0.151712 25 -0.036416 -0.3003 0.382435 26 0.039544 0.3261 0.372681 27 -0.013901 -0.1146 0.454539 28 0.009953 0.0821 0.467413 29 -0.037275 -0.3074 0.379748 30 0.006212 0.0512 0.479649 31 -0.050435 -0.4159 0.339396 32 0.068758 0.567 0.286294 33 0.031091 0.2564 0.399214 34 0.018342 0.1513 0.440112 35 0.037695 0.3108 0.378437 36 -0.070328 -0.5799 0.281936 37 -0.122227 -1.0079 0.158535 38 0.001542 0.0127 0.494944 39 0.004186 0.0345 0.486284 40 0.066487 0.5483 0.292654 41 -0.207641 -1.7122 0.045704 42 -0.063673 -0.5251 0.300624 43 -0.022219 -0.1832 0.427584 44 0.002398 0.0198 0.492141 45 0.069838 0.5759 0.283293 46 -0.058725 -0.4843 0.314878 47 0.038909 0.3209 0.374653 48 0.082517 0.6804 0.249265 49 -0.139722 -1.1522 0.126641 50 -0.009879 -0.0815 0.467655 51 -0.014758 -0.1217 0.451749 52 -0.093979 -0.775 0.220522 53 0.03653 0.3012 0.382079 54 0.035095 0.2894 0.386577 55 0.017361 0.1432 0.443293 56 0.002796 0.0231 0.490837 57 0.028295 0.2333 0.408103 58 0.052066 0.4293 0.334515 59 -0.023476 -0.1936 0.423538 60 -0.120151 -0.9908 0.162651

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228766919h69yykifecl67ot/1t5y31228766889.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228766919h69yykifecl67ot/1t5y31228766889.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228766919h69yykifecl67ot/2vwxb1228766889.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228766919h69yykifecl67ot/2vwxb1228766889.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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')

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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