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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 08:48:44 -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/t1229183390wp2v008gfbzy43z.htm/, Retrieved Sat, 13 Dec 2008 16:49:50 +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/t1229183390wp2v008gfbzy43z.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 «

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.576789	4.5049	1.5e-05
2	0.452923	3.5374	0.000389
3	0.543069	4.2415	3.8e-05
4	0.504518	3.9404	0.000106
5	0.424712	3.3171	0.000768
6	0.449427	3.5101	0.000424
7	0.29371	2.2939	0.012626
8	0.379082	2.9607	0.002184
9	0.314034	2.4527	0.008527
10	0.165544	1.2929	0.100454
11	0.243936	1.9052	0.030735
12	0.445199	3.4771	0.00047
13	0.193111	1.5082	0.068327
14	0.103016	0.8046	0.212094
15	0.1347	1.052	0.148466
16	0.164569	1.2853	0.101768
17	0.113004	0.8826	0.190462
18	0.120952	0.9447	0.174278
19	0.037241	0.2909	0.386072
20	0.093905	0.7334	0.233056
21	0.022175	0.1732	0.431537
22	-0.05922	-0.4625	0.322675
23	0.019711	0.154	0.439078
24	0.104537	0.8165	0.208708
25	-0.027015	-0.211	0.416798
26	-0.081402	-0.6358	0.263651
27	-0.100924	-0.7882	0.216803
28	-0.037683	-0.2943	0.384759
29	-0.104297	-0.8146	0.209239
30	-0.120141	-0.9383	0.175888
31	-0.135984	-1.0621	0.146195
32	-0.107212	-0.8373	0.202832
33	-0.195284	-1.5252	0.066187
34	-0.213614	-1.6684	0.050184
35	-0.179015	-1.3982	0.083565
36	-0.094823	-0.7406	0.230892
37	-0.176958	-1.3821	0.085993
38	-0.254158	-1.985	0.025821
39	-0.216203	-1.6886	0.048201
40	-0.157572	-1.2307	0.111584
41	-0.253784	-1.9821	0.025988
42	-0.252458	-1.9718	0.026588
43	-0.243022	-1.8981	0.031211
44	-0.223792	-1.7479	0.042759
45	-0.257499	-2.0111	0.024368
46	-0.274009	-2.1401	0.018178
47	-0.275154	-2.149	0.017805
48	-0.194855	-1.5219	0.066605

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.576789	4.5049	1.5e-05
2	0.180181	1.4073	0.082213
3	0.348443	2.7214	0.00423
4	0.130198	1.0169	0.156614
5	0.044282	0.3459	0.365321
6	0.107264	0.8378	0.202719
7	-0.217128	-1.6958	0.047509
8	0.199537	1.5584	0.062152
9	-0.149358	-1.1665	0.123972
10	-0.128289	-1.002	0.160158
11	0.128295	1.002	0.160147
12	0.350836	2.7401	0.004022
13	-0.220308	-1.7207	0.045191
14	-0.185603	-1.4496	0.076145
15	-0.081376	-0.6356	0.263719
16	0.072958	0.5698	0.285447
17	-0.058324	-0.4555	0.325176
18	0.062422	0.4875	0.313814
19	0.0466	0.364	0.358574
20	-0.062191	-0.4857	0.314451
21	-0.097847	-0.7642	0.223844
22	0.009372	0.0732	0.470943
23	0.093041	0.7267	0.235102
24	-0.111621	-0.8718	0.193372
25	0.02496	0.1949	0.423041
26	-0.003117	-0.0243	0.490328
27	-0.088835	-0.6938	0.245213
28	-0.006435	-0.0503	0.480039
29	-0.113439	-0.886	0.189551
30	0.026936	0.2104	0.417039
31	-0.04103	-0.3205	0.374859
32	0.025836	0.2018	0.420378
33	-0.037094	-0.2897	0.386509
34	-0.027124	-0.2118	0.416467
35	-0.036216	-0.2829	0.389121
36	0.058677	0.4583	0.32419
37	-0.035956	-0.2808	0.389898
38	-0.102425	-0.8	0.213418
39	0.080675	0.6301	0.265494
40	-0.03861	-0.3016	0.382008
41	-0.113696	-0.888	0.189016
42	-0.053418	-0.4172	0.338997
43	0.013729	0.1072	0.457481
44	-0.025068	-0.1958	0.422713
45	0.034691	0.2709	0.393673
46	0.030507	0.2383	0.406236
47	-0.059521	-0.4649	0.321838
48	-0.12209	-0.9535	0.172037

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229183390wp2v008gfbzy43z/1lzk01229183319.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229183390wp2v008gfbzy43z/1lzk01229183319.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229183390wp2v008gfbzy43z/2hbly1229183319.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229183390wp2v008gfbzy43z/2hbly1229183319.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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')

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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