step 3 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: Sat, 13 Dec 2008 06:20:33 -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/t1229174478rmeh0ofm41ks0kk.htm/, Retrieved Sat, 13 Dec 2008 14:21:20 +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/t1229174478rmeh0ofm41ks0kk.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 «

0.84 0.76 0.77 0.76 0.77 0.78 0.79 0.78 0.76 0.78 0.76 0.74 0.73 0.72 0.71 0.73 0.75 0.75 0.72 0.72 0.72 0.74 0.78 0.74 0.74 0.75 0.78 0.81 0.75 0.7 0.71 0.71 0.73 0.74 0.74 0.75 0.74 0.74 0.73 0.76 0.8 0.83 0.81 0.83 0.88 0.89 0.93 0.91 0.9 0.86 0.88 0.93 0.98 0.97 1.03 1.06 1.06 1.09 1.04 1 1.04

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 0.100718 0.7802 0.219183 2 -0.101391 -0.7854 0.217664 3 -0.089502 -0.6933 0.245405 4 -0.121355 -0.94 0.175491 5 0.103185 0.7993 0.213643 6 0.117766 0.9122 0.182654 7 -0.070884 -0.5491 0.2925 8 -0.079183 -0.6134 0.270981 9 0.066622 0.5161 0.303858 10 0.181472 1.4057 0.082489 11 0.19336 1.4978 0.069719 12 -0.056528 -0.4379 0.33153 13 0.030731 0.238 0.406329 14 -0.026021 -0.2016 0.420473 15 -0.102961 -0.7975 0.214144 16 -0.022432 -0.1738 0.431322 17 0.067519 0.523 0.30145 18 0.004038 0.0313 0.487577 19 0.065052 0.5039 0.308093 20 0.068865 0.5334 0.297855 21 -0.032301 -0.2502 0.401641 22 0.006505 0.0504 0.47999 23 -0.154554 -1.1972 0.117975 24 0.032974 0.2554 0.399637 25 0.000449 0.0035 0.498619 26 -0.16061 -1.2441 0.109154 27 0.008748 0.0678 0.473099 28 0.059668 0.4622 0.32281 29 0.021086 0.1633 0.435404 30 0.201211 1.5586 0.062178 31 -0.058771 -0.4552 0.325291 32 -0.161956 -1.2545 0.107262 33 -0.078735 -0.6099 0.272123 34 -0.066846 -0.5178 0.303255 35 0.1476 1.1433 0.128727 36 -0.020188 -0.1564 0.43813 37 -0.066846 -0.5178 0.303255 38 -0.042171 -0.3267 0.372532 39 -0.025572 -0.1981 0.421826 40 -0.05406 -0.4187 0.338448 41 0.036563 0.2832 0.388992 42 -0.072005 -0.5578 0.289545 43 -0.177882 -1.3779 0.08668 44 -0.077838 -0.6029 0.274415 45 -0.025572 -0.1981 0.421826 46 0.054957 0.4257 0.335926 47 0.0083 0.0643 0.474477 48 0.113728 0.8809 0.190934 49 -0.051368 -0.3979 0.346059 50 -0.071781 -0.556 0.290135 51 -0.041723 -0.3232 0.37384 52 0.013235 0.1025 0.459345 53 -0.110139 -0.8531 0.198489 54 -0.060565 -0.4691 0.320336 55 0.022656 0.1755 0.430642 56 -0.035442 -0.2745 0.39231 57 0.074024 0.5734 0.284262 58 0.077838 0.6029 0.274415 59 -0.061687 -0.4778 0.317256 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.100718 0.7802 0.219183 2 -0.112678 -0.8728 0.193126 3 -0.068343 -0.5294 0.299247 4 -0.119025 -0.922 0.18012 5 0.115401 0.8939 0.187475 6 0.067992 0.5267 0.300184 7 -0.089223 -0.6911 0.246078 8 -0.048234 -0.3736 0.355003 9 0.109535 0.8485 0.199778 10 0.16848 1.305 0.098432 11 0.140938 1.0917 0.139665 12 -0.066764 -0.5172 0.303475 13 0.152525 1.1815 0.121043 14 0.009984 0.0773 0.469308 15 -0.120366 -0.9323 0.177446 16 -0.085006 -0.6585 0.256383 17 0.10811 0.8374 0.202841 18 0.003971 0.0308 0.487783 19 -0.001117 -0.0086 0.496564 20 0.021094 0.1634 0.435378 21 -0.004728 -0.0366 0.485454 22 -0.014051 -0.1088 0.456846 23 -0.230783 -1.7876 0.039443 24 0.065111 0.5043 0.307932 25 0.029205 0.2262 0.410901 26 -0.190211 -1.4734 0.07294 27 -0.032106 -0.2487 0.402225 28 0.10869 0.8419 0.201591 29 0.031833 0.2466 0.40304 30 0.078096 0.6049 0.273755 31 -0.11161 -0.8645 0.19537 32 0.0172 0.1332 0.447229 33 -0.02783 -0.2156 0.415026 34 -0.08007 -0.6202 0.26873 35 0.133549 1.0345 0.152534 36 0.022157 0.1716 0.432153 37 -0.013324 -0.1032 0.459072 38 -0.101859 -0.789 0.216611 39 -0.013447 -0.1042 0.458696 40 -0.112571 -0.872 0.193349 41 -0.0894 -0.6925 0.245652 42 -0.031569 -0.2445 0.403828 43 -0.091505 -0.7088 0.240598 44 -0.095979 -0.7435 0.230054 45 -0.034978 -0.2709 0.393684 46 0.009371 0.0726 0.471188 47 -0.048033 -0.3721 0.355578 48 0.135272 1.0478 0.149464 49 -0.067607 -0.5237 0.301214 50 0.041444 0.321 0.374655 51 0.05181 0.4013 0.344806 52 0.016958 0.1314 0.447967 53 -0.005353 -0.0415 0.483532 54 -0.024252 -0.1879 0.425811 55 0.025738 0.1994 0.421326 56 0.046395 0.3594 0.360289 57 -0.011418 -0.0884 0.46491 58 0.040403 0.313 0.377698 59 -0.127792 -0.9899 0.163105 60 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229174478rmeh0ofm41ks0kk/1ily81229174431.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229174478rmeh0ofm41ks0kk/1ily81229174431.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229174478rmeh0ofm41ks0kk/2hnm61229174431.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229174478rmeh0ofm41ks0kk/2hnm61229174431.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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')

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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