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ACF L=1

*Unverified author*
R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)
Title produced by software: (Partial) Autocorrelation Function
Date of computation: Wed, 10 Dec 2008 07:12:52 -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/10/t1228918400o38pcgtu7e6ymj5.htm/, Retrieved Wed, 10 Dec 2008 14:13:22 +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/10/t1228918400o38pcgtu7e6ymj5.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 «
12.5 14.8 15.9 14.8 12.9 14.3 14.2 15.9 15.3 15.5 15.1 15 12.1 15.8 16.9 15.1 13.7 14.8 14.7 16 15.4 15 15.5 15.1 11.7 16.3 16.7 15 14.9 14.6 15.3 17.9 16.4 15.4 17.9 15.9 13.9 17.8 17.9 17.4 16.7 16 16.6 19.1 17.8 17.2 18.6 16.3 15.1 19.2 17.7 19.1 18 17.5 17.8 21.1 17.2 19.4 19.8 17.6 16.2 19.5 19.9 20 17.3 18.9 18.6 21.4 18.6 19.8 20.8 19.6 17.7 19.8 22.2 20.7 17.9 21.2 21.4 21.7 23.2 21.5 22.9 23.2 18.6
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.7109086.55420
20.6009595.54060
30.6568086.05550
40.6510266.00220
50.5797245.34480
60.6106645.630
70.4938074.55279e-06
80.543135.00741e-06
90.4805874.43081.4e-05
100.3744183.4520.000435
110.4356364.01646.4e-05
120.6008645.53970
130.3897193.5930.000273
140.3098122.85630.002693
150.3341723.08090.00139
160.3500843.22760.000887
170.3149142.90340.002351
180.3156312.910.002306
190.2367852.18310.015895
200.2789632.57190.005926
210.2084111.92150.029013
220.1185351.09280.138777
230.1906061.75730.041234
240.2750682.5360.006521
250.1350761.24530.108214
260.0766010.70620.24099
270.0581170.53580.296744
280.0801360.73880.231028
290.0527660.48650.313941
300.0197130.18170.428108
31-0.02425-0.22360.411811
320.0026080.0240.490438
33-0.076993-0.70980.239873
34-0.135576-1.24990.107375
35-0.079649-0.73430.232386
36-0.012539-0.11560.454119
37-0.110872-1.02220.154795
38-0.16126-1.48670.070391
39-0.172617-1.59140.057611
40-0.13368-1.23250.110586
41-0.173611-1.60060.056587
42-0.192946-1.77890.039418
43-0.2145-1.97760.025607
44-0.179184-1.6520.051113
45-0.246336-2.27110.012834
46-0.27926-2.57460.005883
47-0.258319-2.38160.009736
48-0.194781-1.79580.038041
49-0.263563-2.42990.008603
50-0.312588-2.88190.002502
51-0.322854-2.97660.001898
52-0.267302-2.46440.007869
53-0.311737-2.87410.002559
54-0.318549-2.93690.002133
55-0.328964-3.03290.001606
56-0.285289-2.63020.005064
57-0.316014-2.91350.002283
58-0.335592-3.0940.001336
59-0.314252-2.89730.002393
60-0.243557-2.24550.013666


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.7109086.55420
20.1932191.78140.03921
30.367053.3840.000541
40.1707681.57440.059554
50.0308270.28420.388471
60.1808491.66730.049563
7-0.24436-2.25290.013421
80.2510612.31470.011521
9-0.254909-2.35010.010541
10-0.100919-0.93040.177393
110.2272142.09480.019582
120.3477723.20630.000948
13-0.314045-2.89540.002406
14-0.149064-1.37430.08648
15-0.055323-0.510.305669
160.0491560.45320.325781
170.0134760.12420.450707
18-0.011859-0.10930.456599
190.0726080.66940.252523
20-0.095144-0.87720.191429
21-0.050591-0.46640.321051
22-0.042976-0.39620.346468
230.1150831.0610.145845
24-0.105576-0.97340.166567
250.0330820.3050.380557
26-0.035057-0.32320.373666
27-0.113037-1.04220.150149
280.0019820.01830.492732
29-0.119519-1.10190.136805
300.0515750.47550.317826
31-0.057337-0.52860.299223
320.0093780.08650.465652
33-0.029252-0.26970.394027
34-0.009738-0.08980.464337
35-0.013408-0.12360.450957
360.0727330.67060.252159
37-0.068882-0.63510.263548
38-0.021726-0.20030.420862
390.0077590.07150.471569
40-0.0109-0.10050.460094
41-0.107696-0.99290.161788
420.0121750.11220.455445
43-0.018519-0.17070.432417
440.0368150.33940.367568
45-0.002418-0.02230.491133
46-0.001696-0.01560.493781
47-0.071496-0.65920.255787
48-0.05236-0.48270.315263
49-0.001512-0.01390.494457
50-0.024717-0.22790.410144
51-0.02781-0.25640.399134
520.0153840.14180.443773
530.0029860.02750.489051
54-0.032646-0.3010.382083
55-0.019183-0.17690.430019
560.0324510.29920.382766
570.0665990.6140.270424
58-0.042125-0.38840.349354
590.0633460.5840.280375
60-0.043741-0.40330.343882
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228918400o38pcgtu7e6ymj5/18ikf1228918370.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228918400o38pcgtu7e6ymj5/18ikf1228918370.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228918400o38pcgtu7e6ymj5/2wjp71228918370.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228918400o38pcgtu7e6ymj5/2wjp71228918370.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')
 




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