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(Partial) ACF - Industriele productie van Belgie

*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: Sun, 14 Dec 2008 11:14:08 -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/14/t1229278540vdtnhzw1wwo6pit.htm/, Retrieved Sun, 14 Dec 2008 19:15:40 +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/14/t1229278540vdtnhzw1wwo6pit.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 «

97.4 97 105.4 102.7 98.1 104.5 87.4 89.9 109.8 111.7 98.6 96.9 95.1 97 112.7 102.9 97.4 111.4 87.4 96.8 114.1 110.3 103.9 101.6 94.6 95.9 104.7 102.8 98.1 113.9 80.9 95.7 113.2 105.9 108.8 102.3 99 100.7 115.5 100.7 109.9 114.6 85.4 100.5 114.8 116.5 112.9 102 106 105.3 118.8 106.1 109.3 117.2 92.5 104.2 112.5 122.4 113.3 100 110.7 112.8 109.8 117.3 109.1 115.9 96 99.8 117

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	-0.14178	-1.0704	0.144471
2	0.143935	1.0867	0.140876
3	0.327738	2.4744	0.008174
4	-0.04765	-0.3597	0.360183
5	0.142328	1.0746	0.143551
6	0.187867	1.4184	0.080764
7	-0.196386	-1.4827	0.071833
8	-0.060845	-0.4594	0.323857
9	0.152386	1.1505	0.127374
10	-0.218284	-1.648	0.052426
11	-0.090842	-0.6858	0.247797
12	-0.075753	-0.5719	0.284811
13	-0.148657	-1.1223	0.133212
14	-0.061075	-0.4611	0.323239
15	0.055641	0.4201	0.338003
16	-0.213414	-1.6112	0.056326
17	0.015799	0.1193	0.452737
18	0.03815	0.288	0.387186
19	-0.171128	-1.292	0.100788
20	0.016899	0.1276	0.449463
21	0.058338	0.4404	0.33064
22	-0.280128	-2.1149	0.01941
23	0.22009	1.6616	0.051038
24	-0.232386	-1.7545	0.042362
25	-0.083948	-0.6338	0.264376
26	0.177035	1.3366	0.093335
27	-0.12892	-0.9733	0.167252
28	-0.046427	-0.3505	0.363621
29	0.048565	0.3667	0.357617
30	-0.110973	-0.8378	0.202812
31	0.019429	0.1467	0.441949
32	0.168752	1.274	0.103909
33	-0.167036	-1.2611	0.106206
34	0.098603	0.7444	0.229836
35	0.05067	0.3826	0.351738
36	-0.007481	-0.0565	0.477578
37	0.029563	0.2232	0.412091
38	0.026439	0.1996	0.421247
39	-0.058176	-0.4392	0.331081
40	0.027744	0.2095	0.417417
41	0.115611	0.8728	0.193206
42	-0.095741	-0.7228	0.236371
43	-0.001868	-0.0141	0.4944
44	0.075373	0.5691	0.285778
45	-0.131204	-0.9906	0.163041
46	0.087004	0.6569	0.256954
47	0.02161	0.1632	0.435488
48	-0.114103	-0.8615	0.196297

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.14178	-1.0704	0.144471
2	0.126373	0.9541	0.172032
3	0.37696	2.846	0.003071
4	0.04484	0.3385	0.368101
5	0.036541	0.2759	0.391819
6	0.116164	0.877	0.192078
7	-0.206278	-1.5574	0.062459
8	-0.304076	-2.2957	0.012695
9	0.067685	0.511	0.305659
10	-0.010887	-0.0822	0.467391
11	-0.142007	-1.0721	0.14409
12	-0.143317	-1.082	0.141901
13	0.062852	0.4745	0.318469
14	0.01381	0.1043	0.458662
15	0.092745	0.7002	0.243323
16	-0.030331	-0.229	0.409845
17	0.046942	0.3544	0.362172
18	-0.014072	-0.1062	0.457881
19	-0.183389	-1.3846	0.085792
20	-0.14566	-1.0997	0.138041
21	0.103344	0.7802	0.219241
22	-0.238014	-1.797	0.03882
23	0.090859	0.686	0.247757
24	-0.238367	-1.7996	0.038606
25	0.029163	0.2202	0.413261
26	0.152546	1.1517	0.127127
27	0.11335	0.8558	0.197852
28	-0.042652	-0.322	0.374311
29	-0.075565	-0.5705	0.285289
30	-0.179913	-1.3583	0.089858
31	-0.028997	-0.2189	0.413746
32	0.01327	0.1002	0.460275
33	0.016201	0.1223	0.451539
34	0.037556	0.2835	0.388894
35	-0.063515	-0.4795	0.3167
36	-0.092987	-0.702	0.242756
37	0.045937	0.3468	0.365002
38	-0.041509	-0.3134	0.377565
39	0.073249	0.553	0.291208
40	-0.089739	-0.6775	0.250409
41	0.000576	0.0043	0.498273
42	-0.045196	-0.3412	0.367096
43	-0.052166	-0.3938	0.347584
44	-0.040438	-0.3053	0.380624
45	0.056599	0.4273	0.33538
46	-0.109476	-0.8265	0.205977
47	0.047868	0.3614	0.359571
48	-0.052293	-0.3948	0.347232

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229278540vdtnhzw1wwo6pit/10xz91229278443.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229278540vdtnhzw1wwo6pit/10xz91229278443.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229278540vdtnhzw1wwo6pit/28lc51229278443.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229278540vdtnhzw1wwo6pit/28lc51229278443.ps (open in new window)

Parameters (Session):

par1 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = -0.5 ; par3 = 0 ; par4 = 1 ; 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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