Home » date » 2008 » Dec » 13 »

ACF d=1 D=0

*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: Sat, 13 Dec 2008 03:37:30 -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/13/t1229164739shp0sos2m8m3oq0.htm/, Retrieved Sat, 13 Dec 2008 11:38:59 +0100

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/13/t1229164739shp0sos2m8m3oq0.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8

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	0.357231	3.2545	0.000822
2	-0.13493	-1.2293	0.111222
3	-0.42042	-3.8302	0.000124
4	-0.375246	-3.4187	0.000489
5	-0.034896	-0.3179	0.375672
6	0.260156	2.3701	0.01005
7	0.129468	1.1795	0.120782
8	-0.116825	-1.0643	0.145133
9	-0.182292	-1.6608	0.050268
10	-0.086855	-0.7913	0.215517
11	0.178524	1.6264	0.053824
12	0.527792	4.8084	3e-06
13	0.154885	1.4111	0.08098
14	-0.076511	-0.697	0.24386
15	-0.242504	-2.2093	0.014954
16	-0.194636	-1.7732	0.039931
17	-0.025	-0.2278	0.410197
18	0.154629	1.4087	0.081325
19	0.057808	0.5267	0.299918
20	-0.077967	-0.7103	0.239751
21	-0.113336	-1.0325	0.15241
22	-0.015446	-0.1407	0.444216
23	0.091724	0.8356	0.202876
24	0.302828	2.7589	0.003567
25	0.064195	0.5848	0.280121
26	-0.056562	-0.5153	0.303856
27	-0.160982	-1.4666	0.073129
28	-0.105635	-0.9624	0.169327
29	-0.021325	-0.1943	0.423214
30	0.026361	0.2402	0.405398
31	0.02492	0.227	0.410478
32	-0.035823	-0.3264	0.372486
33	0.011682	0.1064	0.457749
34	0.029272	0.2667	0.39519
35	0.001215	0.0111	0.495597
36	0.120951	1.1019	0.136841
37	-0.06215	-0.5662	0.286388
38	-0.053781	-0.49	0.312725
39	-0.05666	-0.5162	0.303544
40	0.046195	0.4209	0.337473
41	0.09532	0.8684	0.193837
42	0.074077	0.6749	0.250817
43	-0.042668	-0.3887	0.349239
44	-0.189873	-1.7298	0.043689
45	-0.112331	-1.0234	0.15455
46	-0.063751	-0.5808	0.281475
47	0.03211	0.2925	0.385303
48	0.187031	1.7039	0.046068

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.357231	3.2545	0.000822
2	-0.300949	-2.7418	0.003741
3	-0.315368	-2.8731	0.002579
4	-0.179063	-1.6313	0.053303
5	0.052796	0.481	0.315894
6	0.090037	0.8203	0.207204
7	-0.2122	-1.9332	0.028309
8	-0.188119	-1.7138	0.045145
9	0.009155	0.0834	0.466864
10	0.02271	0.2069	0.418299
11	0.108014	0.9841	0.163975
12	0.426755	3.8879	0.000101
13	-0.200985	-1.8311	0.03534
14	0.205977	1.8765	0.032048
15	0.132537	1.2075	0.115341
16	0.135798	1.2372	0.109756
17	-0.021338	-0.1944	0.423169
18	0.023649	0.2155	0.414971
19	0.01183	0.1078	0.457217
20	-0.006829	-0.0622	0.475269
21	-0.084223	-0.7673	0.222537
22	0.057125	0.5204	0.302074
23	-0.134258	-1.2232	0.112367
24	0.046325	0.422	0.337044
25	-0.065329	-0.5952	0.276672
26	-0.007427	-0.0677	0.473109
27	-0.044291	-0.4035	0.343805
28	0.007089	0.0646	0.474332
29	-0.023313	-0.2124	0.416161
30	-0.158333	-1.4425	0.076465
31	0.080452	0.733	0.232826
32	-0.034489	-0.3142	0.377074
33	0.090369	0.8233	0.206348
34	-0.124282	-1.1323	0.130392
35	-0.013245	-0.1207	0.452123
36	0.038919	0.3546	0.361904
37	-0.115523	-1.0525	0.147821
38	-0.006234	-0.0568	0.477424
39	0.019991	0.1821	0.427965
40	0.054542	0.4969	0.310287
41	0.155894	1.4203	0.079638
42	0.08422	0.7673	0.222546
43	-0.017273	-0.1574	0.43767
44	-0.097007	-0.8838	0.189684
45	0.014242	0.1298	0.448537
46	-0.10958	-0.9983	0.160513
47	-0.051439	-0.4686	0.320281
48	-0.020466	-0.1865	0.426272

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164739shp0sos2m8m3oq0/11vvk1229164646.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164739shp0sos2m8m3oq0/11vvk1229164646.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164739shp0sos2m8m3oq0/242qa1229164646.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229164739shp0sos2m8m3oq0/242qa1229164646.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = 0 ; par3 = 2 ; par4 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; 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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