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(P)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 13:40:13 -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/t1228941660pp20e33ylrcma50.htm/, Retrieved Wed, 10 Dec 2008 20:41:00 +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/t1228941660pp20e33ylrcma50.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 «

11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22160 20664.3 17877.4 21211.2 21423.1 21688.7 23243.2 21490.2 22925.8 23184.8 18562.2

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.014738	-0.0896	0.464525
2	0.180958	1.1007	0.139063
3	0.269388	1.6386	0.054885
4	0.079869	0.4858	0.314979
5	0.092871	0.5649	0.287771
6	0.09759	0.5936	0.27819
7	-0.139327	-0.8475	0.201084
8	0.070229	0.4272	0.335861
9	0.008385	0.051	0.479799
10	0.050234	0.3056	0.380825
11	-0.121289	-0.7378	0.232654
12	-0.102028	-0.6206	0.26933
13	0.043231	0.263	0.397018
14	-0.089994	-0.5474	0.293692
15	0.048842	0.2971	0.384028
16	-0.099206	-0.6034	0.274946
17	-0.071538	-0.4351	0.332991
18	0.084367	0.5132	0.305436
19	0.049634	0.3019	0.382206
20	-0.076629	-0.4661	0.321932
21	0.100829	0.6133	0.271709
22	-0.111916	-0.6808	0.250131
23	0.056965	0.3465	0.365463
24	-0.109019	-0.6631	0.255678
25	-0.041782	-0.2542	0.400392
26	-0.09915	-0.6031	0.275059
27	-0.105143	-0.6396	0.263199
28	-0.067712	-0.4119	0.341403
29	-0.108272	-0.6586	0.257118
30	-0.144556	-0.8793	0.192457
31	-0.075725	-0.4606	0.323884
32	-0.104072	-0.633	0.2653
33	-0.045234	-0.2751	0.392366
34	-0.003124	-0.019	0.492471
35	-0.022057	-0.1342	0.447
36	0.019119	0.1163	0.454024
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.014738	-0.0896	0.464525
2	0.180781	1.0996	0.139295
3	0.283564	1.7249	0.04645
4	0.076209	0.4636	0.322838
5	0.003112	0.0189	0.492499
6	0.000727	0.0044	0.498248
7	-0.215835	-1.3129	0.098655
8	-0.009703	-0.059	0.476626
9	0.042024	0.2556	0.399829
10	0.152532	0.9278	0.179758
11	-0.118885	-0.7231	0.237068
12	-0.182708	-1.1114	0.136789
13	0.024583	0.1495	0.440972
14	-0.02168	-0.1319	0.447899
15	0.162556	0.9888	0.164595
16	-0.054189	-0.3296	0.371773
17	-0.057436	-0.3494	0.364397
18	0.006441	0.0392	0.484479
19	0.086367	0.5253	0.301238
20	-0.003953	-0.024	0.490473
21	0.071829	0.4369	0.332354
22	-0.120955	-0.7357	0.233263
23	-0.077134	-0.4692	0.320844
24	-0.177397	-1.0791	0.143772
25	0.019928	0.1212	0.452088
26	0.029648	0.1803	0.428935
27	-0.054815	-0.3334	0.370348
28	-0.080673	-0.4907	0.313264
29	-0.126411	-0.7689	0.223409
30	-0.03351	-0.2038	0.419799
31	-0.022208	-0.1351	0.446638
32	0.060302	0.3668	0.357928
33	0.031357	0.1907	0.424887
34	0.026375	0.1604	0.436706
35	0.036665	0.223	0.412371
36	-0.032545	-0.198	0.422079
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228941660pp20e33ylrcma50/1qbaa1228941608.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228941660pp20e33ylrcma50/1qbaa1228941608.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228941660pp20e33ylrcma50/2ncne1228941608.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/10/t1228941660pp20e33ylrcma50/2ncne1228941608.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 0.6 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 0.6 ; par3 = 0 ; par4 = 2 ; 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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