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ACF met meer lags

*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: Mon, 15 Dec 2008 07:07:02 -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/15/t1229350082i2vivg7c1sz2qfl.htm/, Retrieved Mon, 15 Dec 2008 15:08:10 +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/15/t1229350082i2vivg7c1sz2qfl.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 «

147768 137507 136919 136151 133001 125554 119647 114158 116193 152803 161761 160942 149470 139208 134588 130322 126611 122401 117352 112135 112879 148729 157230 157221 146681 136524 132111 125326 122716 116615 113719 110737 112093 143565 149946 149147 134339 122683 115614 116566 111272 104609 101802 94542 93051 124129 130374 123946 114971 105531 104919 104782 101281 94545 93248 84031 87486 115867 120327 117008 108811

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	0.808854	6.3173	0
2	0.524315	4.095	6.3e-05
3	0.283463	2.2139	0.015292
4	0.148625	1.1608	0.125123
5	0.092699	0.724	0.235915
6	0.069836	0.5454	0.293721
7	0.060076	0.4692	0.320296
8	0.078487	0.613	0.271076
9	0.195107	1.5238	0.066359
10	0.358588	2.8007	0.003411
11	0.539892	4.2167	4.2e-05
12	0.618954	4.8342	5e-06
13	0.447253	3.4932	0.000447
14	0.209653	1.6374	0.053344
15	0.014877	0.1162	0.45394
16	-0.091082	-0.7114	0.239783
17	-0.140891	-1.1004	0.137742
18	-0.166585	-1.3011	0.099064
19	-0.180372	-1.4087	0.081993
20	-0.166487	-1.3003	0.099194
21	-0.069498	-0.5428	0.294625
22	0.053823	0.4204	0.337845
23	0.179234	1.3999	0.08331
24	0.231078	1.8048	0.038023
25	0.105171	0.8214	0.207305
26	-0.056093	-0.4381	0.331431
27	-0.183593	-1.4339	0.078353
28	-0.235414	-1.8386	0.035419
29	-0.257592	-2.0119	0.024329
30	-0.264211	-2.0636	0.021661
31	-0.270081	-2.1094	0.019511
32	-0.259621	-2.0277	0.023483
33	-0.191255	-1.4937	0.070198
34	-0.118472	-0.9253	0.179229
35	-0.032256	-0.2519	0.400972
36	0.002866	0.0224	0.491109
37	-0.070487	-0.5505	0.291986
38	-0.158214	-1.2357	0.110655
39	-0.208471	-1.6282	0.054318
40	-0.223583	-1.7462	0.042902
41	-0.233605	-1.8245	0.036487
42	-0.236343	-1.8459	0.034881
43	-0.23994	-1.874	0.032862
44	-0.228358	-1.7835	0.039737
45	-0.176729	-1.3803	0.086267
46	-0.13568	-1.0597	0.14673
47	-0.0908	-0.7092	0.24046
48	-0.065463	-0.5113	0.305499

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.808854	6.3173	0
2	-0.375784	-2.935	0.002348
3	0.01332	0.104	0.458743
4	0.086883	0.6786	0.249986
5	0.005091	0.0398	0.484205
6	-0.014057	-0.1098	0.456469
7	0.021284	0.1662	0.434261
8	0.09199	0.7185	0.237607
9	0.317452	2.4794	0.00797
10	0.155105	1.2114	0.115206
11	0.29473	2.3019	0.012384
12	0.010887	0.085	0.466259
13	-0.518357	-4.0485	7.4e-05
14	0.087503	0.6834	0.248464
15	-0.072215	-0.564	0.287406
16	-0.121677	-0.9503	0.172849
17	0.008256	0.0645	0.4744
18	-0.124739	-0.9742	0.166891
19	-0.005248	-0.041	0.48372
20	-0.070924	-0.5539	0.290825
21	-0.083571	-0.6527	0.258198
22	0.018873	0.1474	0.44165
23	-0.057225	-0.4469	0.328251
24	0.093323	0.7289	0.234434
25	-0.096	-0.7498	0.228133
26	0.074774	0.584	0.280686
27	0.014485	0.1131	0.455148
28	-0.00477	-0.0373	0.485201
29	0.030344	0.237	0.406728
30	-0.022445	-0.1753	0.430712
31	-0.018997	-0.1484	0.441269
32	-0.027153	-0.2121	0.416378
33	-0.117495	-0.9177	0.181204
34	-0.04271	-0.3336	0.369921
35	-0.005243	-0.041	0.483734
36	-0.049782	-0.3888	0.349387
37	0.011942	0.0933	0.462998
38	0.020748	0.162	0.435902
39	0.045438	0.3549	0.36195
40	-0.110777	-0.8652	0.19516
41	0.006316	0.0493	0.48041
42	0.001094	0.0085	0.496606
43	-0.011779	-0.092	0.463501
44	0.035386	0.2764	0.391599
45	-0.018777	-0.1467	0.441946
46	-0.0388	-0.303	0.381445
47	-0.038573	-0.3013	0.382117
48	-0.003197	-0.025	0.490081

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350082i2vivg7c1sz2qfl/1gxjx1229350021.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350082i2vivg7c1sz2qfl/1gxjx1229350021.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350082i2vivg7c1sz2qfl/2fo2j1229350021.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350082i2vivg7c1sz2qfl/2fo2j1229350021.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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