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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 07:18:46 -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/t1229350768tkouyodyd6e25dm.htm/, Retrieved Mon, 15 Dec 2008 15:19:30 +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/t1229350768tkouyodyd6e25dm.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	-0.077212	-0.5349	0.297581
2	0.091825	0.6362	0.263839
3	-0.13891	-0.9624	0.170337
4	0.045002	0.3118	0.378278
5	-0.218826	-1.5161	0.06803
6	0.013414	0.0929	0.463171
7	0.062307	0.4317	0.333955
8	-0.036507	-0.2529	0.400702
9	0.100854	0.6987	0.244044
10	-0.035118	-0.2433	0.404403
11	0.303079	2.0998	0.020514
12	-0.272631	-1.8888	0.032482
13	-0.016473	-0.1141	0.454805
14	0.002061	0.0143	0.494333
15	-0.057194	-0.3963	0.346837
16	-0.269854	-1.8696	0.033823
17	0.015562	0.1078	0.457295
18	0.006629	0.0459	0.481778
19	-0.069555	-0.4819	0.316037
20	0.109446	0.7583	0.226
21	-0.008974	-0.0622	0.475342
22	0.154465	1.0702	0.144949
23	-0.11627	-0.8055	0.21224
24	0.012334	0.0855	0.466128
25	-0.043936	-0.3044	0.38107
26	0.002161	0.015	0.494058
27	-0.068215	-0.4726	0.319317
28	0.058924	0.4082	0.342457
29	0.039578	0.2742	0.392551
30	-0.012337	-0.0855	0.466121
31	0.091384	0.6331	0.264828
32	0.062084	0.4301	0.334513
33	0.06039	0.4184	0.338763
34	-0.108766	-0.7535	0.2274
35	-0.054217	-0.3756	0.354425
36	-0.056206	-0.3894	0.349349
37	0.021078	0.146	0.442255
38	-0.029299	-0.203	0.419999
39	0.013052	0.0904	0.464163
40	-0.03287	-0.2277	0.410412
41	-0.028008	-0.194	0.423479
42	0.002978	0.0206	0.491813
43	0.047486	0.329	0.371795
44	-0.014367	-0.0995	0.460563
45	-0.042523	-0.2946	0.384783
46	-0.008233	-0.057	0.477375
47	0.000406	0.0028	0.498884
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.077212	-0.5349	0.297581
2	0.086379	0.5984	0.276177
3	-0.127468	-0.8831	0.190785
4	0.020384	0.1412	0.444142
5	-0.198484	-1.3751	0.087737
6	-0.03439	-0.2383	0.406347
7	0.103882	0.7197	0.237594
8	-0.085107	-0.5896	0.279099
9	0.101691	0.7045	0.242252
10	-0.045102	-0.3125	0.378016
11	0.291381	2.0187	0.024559
12	-0.22474	-1.557	0.063015
13	-0.10839	-0.751	0.228174
14	0.172781	1.1971	0.11858
15	-0.192491	-1.3336	0.094312
16	-0.203059	-1.4068	0.082959
17	-0.066299	-0.4593	0.324033
18	-0.05766	-0.3995	0.345657
19	-0.036872	-0.2555	0.399731
20	-0.016484	-0.1142	0.454777
21	-0.038191	-0.2646	0.396226
22	0.109165	0.7563	0.226578
23	0.043441	0.301	0.382368
24	-0.067299	-0.4663	0.32157
25	-0.022769	-0.1577	0.437658
26	0.098631	0.6833	0.24884
27	0.07262	0.5031	0.308588
28	-0.145229	-1.0062	0.159688
29	0.000174	0.0012	0.499522
30	0.092167	0.6386	0.263075
31	-0.066269	-0.4591	0.324108
32	0.056148	0.389	0.349497
33	-0.02695	-0.1867	0.426335
34	-0.073929	-0.5122	0.305432
35	-0.032573	-0.2257	0.411207
36	-0.085591	-0.593	0.277986
37	0.033416	0.2315	0.40895
38	0.037048	0.2567	0.399262
39	-0.052177	-0.3615	0.359658
40	-0.131712	-0.9125	0.183027
41	-0.030986	-0.2147	0.415464
42	0.056345	0.3904	0.348996
43	0.016314	0.113	0.455241
44	-0.066439	-0.4603	0.323689
45	0.052485	0.3636	0.358866
46	0.022325	0.1547	0.438864
47	-0.01982	-0.1373	0.445679
48	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350768tkouyodyd6e25dm/17gjg1229350725.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350768tkouyodyd6e25dm/17gjg1229350725.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350768tkouyodyd6e25dm/2keve1229350725.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350768tkouyodyd6e25dm/2keve1229350725.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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