paper - 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: Wed, 10 Dec 2008 09:38:46 -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/t122892719439s99auopxxfo7a.htm/, Retrieved Wed, 10 Dec 2008 16:39:58 +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/t122892719439s99auopxxfo7a.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 «

357 363 364 363 358 357 357 380 378 376 380 379 384 392 394 392 396 392 396 419 421 420 418 410 418 426 428 430 424 423 427 441 449 452 462 455 461 461 463 462 456 455 456 472 472 471 465 459 465 468 467 463 460 462 461 476 476 471 453 443 442 444 438 427 424 416 406 431 434 418 412 404 409 412 406 398 397 385 390 413 413 401 397 397

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 2 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.946787 8.6774 0 2 0.889452 8.152 0 3 0.845278 7.7471 0 4 0.811559 7.4381 0 5 0.782583 7.1725 0 6 0.736115 6.7466 0 7 0.667443 6.1172 0 8 0.606949 5.5628 0 9 0.552707 5.0656 1e-06 10 0.508412 4.6597 6e-06 11 0.479458 4.3943 1.6e-05 12 0.437168 4.0067 6.6e-05 13 0.361692 3.315 0.000677 14 0.290267 2.6603 0.004674 15 0.229529 2.1037 0.019199 16 0.179402 1.6442 0.051931 17 0.139846 1.2817 0.101735 18 0.082892 0.7597 0.224774 19 0.016414 0.1504 0.440389 20 -0.041826 -0.3833 0.351217 21 -0.088302 -0.8093 0.210314 22 -0.121231 -1.1111 0.134847 23 -0.148898 -1.3647 0.088 24 -0.190449 -1.7455 0.042278 25 -0.247487 -2.2683 0.012939 26 -0.299204 -2.7422 0.003728 27 -0.336244 -3.0817 0.001391 28 -0.360669 -3.3056 0.000698 29 -0.3804 -3.4864 0.000391 30 -0.409545 -3.7535 0.00016 31 -0.443229 -4.0623 5.4e-05 32 -0.472026 -4.3262 2.1e-05 33 -0.482761 -4.4246 1.4e-05 34 -0.482859 -4.4255 1.4e-05 35 -0.471716 -4.3233 2.1e-05 36 -0.469093 -4.2993 2.3e-05 37 -0.480571 -4.4045 1.6e-05 38 -0.491431 -4.504 1.1e-05 39 -0.489942 -4.4904 1.1e-05 40 -0.475128 -4.3546 1.9e-05 41 -0.458678 -4.2039 3.3e-05 42 -0.449816 -4.1226 4.4e-05 43 -0.447377 -4.1003 4.7e-05 44 -0.434842 -3.9854 7.1e-05 45 -0.409159 -3.75 0.000162 46 -0.37793 -3.4638 0.00042 47 -0.347875 -3.1883 0.001005 48 -0.321151 -2.9434 0.002098 49 -0.305448 -2.7995 0.003174 50 -0.286638 -2.6271 0.005117 51 -0.259534 -2.3787 0.009822 52 -0.226072 -2.072 0.020667 53 -0.191687 -1.7568 0.041294 54 -0.160304 -1.4692 0.072756 55 -0.139552 -1.279 0.102207 56 -0.10852 -0.9946 0.161394 57 -0.066449 -0.609 0.272078 58 -0.023843 -0.2185 0.413776 59 0.011459 0.105 0.458305 60 0.039227 0.3595 0.360055 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.946787 8.6774 0 2 -0.06713 -0.6153 0.270026 3 0.098733 0.9049 0.184053 4 0.067477 0.6184 0.268981 5 0.034748 0.3185 0.375458 6 -0.17008 -1.5588 0.0614 7 -0.218207 -1.9999 0.024371 8 0.025133 0.2303 0.409192 9 -0.046846 -0.4294 0.334383 10 0.034616 0.3173 0.375916 11 0.149438 1.3696 0.087228 12 -0.078713 -0.7214 0.236329 13 -0.319752 -2.9306 0.002178 14 -0.033464 -0.3067 0.379915 15 -0.022111 -0.2026 0.41995 16 -0.05741 -0.5262 0.300079 17 0.062515 0.573 0.284101 18 -0.046375 -0.425 0.335948 19 -0.043689 -0.4004 0.344932 20 -0.040948 -0.3753 0.354192 21 0.031985 0.2931 0.385066 22 -0.004623 -0.0424 0.48315 23 -0.047572 -0.436 0.331975 24 -0.040827 -0.3742 0.354605 25 -0.122046 -1.1186 0.133256 26 -0.068721 -0.6298 0.265254 27 0.021801 0.1998 0.421056 28 -0.00315 -0.0289 0.488519 29 0.000238 0.0022 0.499134 30 0.026391 0.2419 0.404734 31 -0.022228 -0.2037 0.419532 32 -0.089031 -0.816 0.208409 33 0.048589 0.4453 0.328615 34 -0.027876 -0.2555 0.399484 35 0.09671 0.8864 0.188977 36 0.015532 0.1423 0.443573 37 -0.068474 -0.6276 0.265992 38 -0.094033 -0.8618 0.195619 39 -0.04737 -0.4342 0.332645 40 0.022949 0.2103 0.416959 41 -0.038853 -0.3561 0.361332 42 0.044163 0.4048 0.343342 43 0.013395 0.1228 0.451291 44 0.033018 0.3026 0.381466 45 -0.00198 -0.0181 0.492784 46 -0.026389 -0.2419 0.40474 47 -0.071595 -0.6562 0.25675 48 0.035397 0.3244 0.373214 49 -0.023145 -0.2121 0.41626 50 -0.026824 -0.2458 0.403202 51 0.015085 0.1383 0.445185 52 -0.001621 -0.0149 0.494091 53 0.015187 0.1392 0.444816 54 0.079473 0.7284 0.234202 55 -0.02701 -0.2476 0.402543 56 0.043646 0.4 0.345078 57 0.010571 0.0969 0.461523 58 -0.021722 -0.1991 0.421338 59 -0.088156 -0.808 0.210698 60 0.010414 0.0954 0.462093

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122892719439s99auopxxfo7a/19v0j1228927124.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122892719439s99auopxxfo7a/19v0j1228927124.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122892719439s99auopxxfo7a/2304h1228927124.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t122892719439s99auopxxfo7a/2304h1228927124.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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