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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: Tue, 09 Dec 2008 06:54:35 -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/09/t1228830964m7oxmkxe99uxibd.htm/, Retrieved Tue, 09 Dec 2008 13:56:06 +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/09/t1228830964m7oxmkxe99uxibd.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)

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1202454.6 1201423.4 1505916 1513377.6 1977605.3 1873829.6 1424049.1 1322740 1584825.5 1680460.3 1648573.7 3095468.7 1307982.9 1367588.9 1572718.3 1611602.9 1641196.4 1845262.4 1464237.6 1402385.7 2077099.8 1691129.6 1729012.7 3347792.1 1365087.7 1545460 1844355.1 1775549.8 1721779.2 2128726.1 1664319.9 1769471.4 1904578.4 1872042.3 1802181 3222199.4 1491414.2 1658519.2 2079206.9 1748767.4 2084447.4 2067181.6 1718122.8 1782337.1 1958118.4 2028681.3 2076128.1 3383873 1870369 1654852.9 2074338.3 1888653.7 1991137.8 2168237.9 1867424.1 1842359.6 1927476.3 2065555.4 2455608.5 3336170.9

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.060371	0.4676	0.320871
2	-0.024017	-0.186	0.426522
3	0.13743	1.0645	0.145677
4	-0.094407	-0.7313	0.233729
5	0.010745	0.0832	0.466973
6	0.344874	2.6714	0.004855
7	0.053247	0.4124	0.340741
8	-0.073785	-0.5715	0.284885
9	0.10692	0.8282	0.20542
10	-0.100912	-0.7817	0.218744
11	-0.03993	-0.3093	0.379085
12	0.734574	5.69	0
13	-0.013726	-0.1063	0.45784
14	-0.054133	-0.4193	0.338244
15	0.106709	0.8266	0.205879
16	-0.10702	-0.829	0.205202
17	-0.041238	-0.3194	0.375255
18	0.228632	1.771	0.040822
19	-0.012495	-0.0968	0.461611
20	-0.100697	-0.78	0.219229
21	-0.001903	-0.0147	0.494145
22	-0.139639	-1.0816	0.141871
23	-0.103188	-0.7993	0.213636
24	0.480046	3.7184	0.000222
25	-0.051381	-0.398	0.346024
26	-0.093108	-0.7212	0.236791
27	0.035273	0.2732	0.392809
28	-0.139341	-1.0793	0.142381
29	-0.070504	-0.5461	0.293504
30	0.099597	0.7715	0.221727
31	-0.057995	-0.4492	0.327444
32	-0.117613	-0.911	0.182963
33	-0.078615	-0.6089	0.27243
34	-0.147198	-1.1402	0.129369
35	-0.091816	-0.7112	0.239857
36	0.297645	2.3055	0.012305
37	-0.055076	-0.4266	0.335591
38	-0.099263	-0.7689	0.222489
39	-0.041523	-0.3216	0.374424
40	-0.152796	-1.1836	0.120629
41	-0.092276	-0.7148	0.238762
42	0.018682	0.1447	0.442713
43	-0.044076	-0.3414	0.366994
44	-0.116416	-0.9018	0.185396
45	-0.120014	-0.9296	0.178145
46	-0.14494	-1.1227	0.133018
47	-0.089295	-0.6917	0.245904
48	0.117077	0.9069	0.184051
49	-0.034927	-0.2705	0.393835
50	-0.059734	-0.4627	0.322626
51	-0.070197	-0.5437	0.294315
52	-0.090783	-0.7032	0.242326
53	-0.057653	-0.4466	0.328394
54	-0.000339	-0.0026	0.498957
55	-0.00999	-0.0774	0.469288
56	-0.062328	-0.4828	0.315501
57	-0.072934	-0.5649	0.28711
58	-0.094735	-0.7338	0.232959
59	-0.067864	-0.5257	0.300525
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.060371	0.4676	0.320871
2	-0.027763	-0.2151	0.415228
3	0.14122	1.0939	0.139189
4	-0.115683	-0.8961	0.186896
5	0.036019	0.279	0.390602
6	0.326504	2.5291	0.007041
7	0.037058	0.287	0.387533
8	-0.094794	-0.7343	0.232823
9	0.046349	0.359	0.360421
10	-0.061366	-0.4753	0.318134
11	-0.013287	-0.1029	0.459184
12	0.70538	5.4638	0
13	-0.263743	-2.0429	0.022729
14	-0.082908	-0.6422	0.261594
15	-0.020588	-0.1595	0.436917
16	0.071513	0.5539	0.290839
17	-0.029947	-0.232	0.408675
18	-0.215123	-1.6663	0.05043
19	-0.086685	-0.6715	0.252252
20	0.04099	0.3175	0.375982
21	-0.160917	-1.2465	0.10872
22	0.064804	0.502	0.308763
23	-0.03324	-0.2575	0.398847
24	-0.11128	-0.862	0.196068
25	0.113942	0.8826	0.190491
26	-0.049602	-0.3842	0.35109
27	-0.042407	-0.3285	0.371844
28	-0.046136	-0.3574	0.361036
29	0.013549	0.1049	0.458384
30	-0.058866	-0.456	0.325027
31	-0.042594	-0.3299	0.371299
32	-0.049702	-0.385	0.350803
33	0.039113	0.303	0.38148
34	-0.033072	-0.2562	0.399347
35	0.099928	0.774	0.220973
36	-0.048939	-0.3791	0.352982
37	0.002315	0.0179	0.492877
38	-0.001412	-0.0109	0.495655
39	-0.07863	-0.6091	0.272391
40	-0.021461	-0.1662	0.434266
41	-0.099164	-0.7681	0.222713
42	-0.002457	-0.019	0.492439
43	0.065558	0.5078	0.306724
44	-0.1228	-0.9512	0.172658
45	0.012318	0.0954	0.462152
46	-0.0011	-0.0085	0.496615
47	-0.05912	-0.4579	0.324325
48	-0.09986	-0.7735	0.221127
49	0.012409	0.0961	0.461873
50	0.075251	0.5829	0.281076
51	-0.048836	-0.3783	0.353277
52	0.038544	0.2986	0.383154
53	0.052409	0.406	0.34311
54	0.032942	0.2552	0.399733
55	-0.024609	-0.1906	0.424734
56	0.077555	0.6007	0.275139
57	0.094467	0.7317	0.233588
58	-0.092881	-0.7195	0.237327
59	-0.114869	-0.8898	0.188572
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228830964m7oxmkxe99uxibd/159b31228830873.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228830964m7oxmkxe99uxibd/159b31228830873.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228830964m7oxmkxe99uxibd/2qura1228830873.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228830964m7oxmkxe99uxibd/2qura1228830873.ps (open in new window)

Parameters (Session):

par1 = 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')

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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