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(P) ACF - Totale Uitvoer

*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: Tue, 16 Dec 2008 04:51:37 -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/16/t1229428449ub2qustqk1cx5g4.htm/, Retrieved Tue, 16 Dec 2008 12:54:14 +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/16/t1229428449ub2qustqk1cx5g4.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 «

15044.5 14944.2 16754.8 14254 15454.9 15644.8 14568.3 12520.2 14803 15873.2 14755.3 12875.1 14291.1 14205.3 15859.4 15258.9 15498.6 15106.5 15023.6 12083 15761.3 16943 15070.3 13659.6 14768.9 14725.1 15998.1 15370.6 14956.9 15469.7 15101.8 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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.191676	1.7144	0.045163
2	0.311279	2.7842	0.003348
3	0.498993	4.4631	1.3e-05
4	0.148741	1.3304	0.093587
5	0.237188	2.1215	0.018489
6	0.317595	2.8407	0.002854
7	-0.039342	-0.3519	0.362924
8	0.117889	1.0544	0.14743
9	0.205496	1.838	0.034887
10	-0.030802	-0.2755	0.391822
11	0.027074	0.2422	0.40464
12	0.103318	0.9241	0.179106
13	-0.052397	-0.4687	0.320297
14	0.078252	0.6999	0.243007
15	0.063506	0.568	0.285808
16	-0.129814	-1.1611	0.124529
17	0.113255	1.013	0.157062
18	0.063231	0.5656	0.28664
19	-0.071482	-0.6394	0.262209
20	0.069966	0.6258	0.266616
21	0.05942	0.5315	0.298282
22	-0.150328	-1.3446	0.091282
23	0.191615	1.7139	0.045214
24	-0.180589	-1.6152	0.055099
25	-0.098706	-0.8829	0.189981
26	0.049037	0.4386	0.331067
27	-0.146583	-1.3111	0.096792
28	-0.112841	-1.0093	0.157942
29	-0.032701	-0.2925	0.385334
30	-0.192661	-1.7232	0.044357
31	-0.083872	-0.7502	0.227675
32	-0.020967	-0.1875	0.425857
33	-0.204904	-1.8327	0.035283
34	-0.070542	-0.6309	0.264937
35	0.038712	0.3463	0.365032
36	-0.082614	-0.7389	0.231058
37	0.057049	0.5103	0.305638
38	0.077353	0.6919	0.245513
39	-0.016826	-0.1505	0.440376
40	0.13215	1.182	0.120356
41	0.122093	1.092	0.139049
42	0.010851	0.0971	0.461462
43	0.109121	0.976	0.166001
44	0.162828	1.4564	0.0746
45	-0.061845	-0.5532	0.290849
46	0.126172	1.1285	0.131237
47	-0.009804	-0.0877	0.465173
48	-0.104337	-0.9332	0.176758
49	0.105098	0.94	0.175017
50	-0.083687	-0.7485	0.22817
51	-0.08881	-0.7943	0.214674
52	-0.006657	-0.0595	0.476335
53	-0.137641	-1.2311	0.110946
54	-0.083313	-0.7452	0.229176
55	-0.029973	-0.2681	0.39466
56	-0.154805	-1.3846	0.085009
57	-0.08436	-0.7545	0.22637
58	-0.028931	-0.2588	0.398241
59	-0.124037	-1.1094	0.135285
60	-0.077924	-0.697	0.243919

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.191676	1.7144	0.045163
2	0.285011	2.5492	0.006354
3	0.453895	4.0598	5.7e-05
4	-0.016292	-0.1457	0.442255
5	-0.02313	-0.2069	0.418315
6	0.084168	0.7528	0.226884
7	-0.2214	-1.9803	0.025556
8	-0.09073	-0.8115	0.209739
9	0.133283	1.1921	0.11837
10	0.057442	0.5138	0.304413
11	-0.096899	-0.8667	0.194353
12	0.007805	0.0698	0.472258
13	0.028529	0.2552	0.399624
14	0.050176	0.4488	0.327401
15	-0.007297	-0.0653	0.474062
16	-0.124374	-1.1124	0.134641
17	0.106091	0.9489	0.172764
18	0.067564	0.6043	0.273674
19	-0.040427	-0.3616	0.359306
20	-0.041172	-0.3683	0.356827
21	0.092423	0.8267	0.205446
22	-0.179387	-1.6045	0.056274
23	0.116227	1.0396	0.150836
24	-0.250315	-2.2389	0.013971
25	0.036895	0.33	0.371131
26	-0.014972	-0.1339	0.446903
27	0.004635	0.0415	0.483518
28	-0.007743	-0.0693	0.472479
29	-0.048609	-0.4348	0.33245
30	-0.014372	-0.1285	0.449019
31	-0.030915	-0.2765	0.391435
32	0.033531	0.2999	0.382513
33	-0.06739	-0.6028	0.27419
34	0.06803	0.6085	0.272297
35	0.08297	0.7421	0.230098
36	0.099996	0.8944	0.186897
37	0.091258	0.8162	0.208395
38	0.006297	0.0563	0.477612
39	0.04562	0.408	0.342169
40	-0.08094	-0.7239	0.235604
41	0.046415	0.4151	0.339572
42	-0.019795	-0.177	0.429959
43	0.044928	0.4018	0.344433
44	0.037783	0.3379	0.368147
45	-0.05665	-0.5067	0.306883
46	-0.087636	-0.7838	0.217723
47	-0.045892	-0.4105	0.34128
48	-0.135003	-1.2075	0.115398
49	0.055728	0.4985	0.309767
50	-0.022588	-0.202	0.420203
51	0.058887	0.5267	0.299929
52	-0.076823	-0.6871	0.246996
53	-0.1071	-0.9579	0.170492
54	-0.016451	-0.1471	0.441696
55	-0.043024	-0.3848	0.350698
56	-0.023619	-0.2113	0.416613
57	-0.042593	-0.381	0.352121
58	0.002975	0.0266	0.489419
59	0.021749	0.1945	0.423126
60	-0.028701	-0.2567	0.399032

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229428449ub2qustqk1cx5g4/1wh101229428295.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229428449ub2qustqk1cx5g4/1wh101229428295.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229428449ub2qustqk1cx5g4/212p01229428295.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229428449ub2qustqk1cx5g4/212p01229428295.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.4 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.4 ; 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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