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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: Tue, 16 Dec 2008 15:57:31 -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/t1229468312dvsixouxaddodht.htm/, Retrieved Tue, 16 Dec 2008 23:58:34 +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/t1229468312dvsixouxaddodht.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 «

524 552 532 511 492 492 493 481 462 457 442 439 488 521 501 485 464 460 467 460 448 443 436 431 484 510 513 503 471 471 476 475 470 461 455 456 517 525 523 519 509 512 519 517 510 509 501 507 569 580 578 565 547 555 562 561 555 544 537 543 594 611 613 611 594 595 591 589 584 573 567 569 621 629 628 612 595 597 593 590 580 574 573 573 620 626 620 588 566 557 561 549 532 526 511 499 555 565 542 527 510 514 517 508 493 490 469 478

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	0.930059	9.6655	0
2	0.824712	8.5707	0
3	0.744184	7.7338	0
4	0.701963	7.295	0
5	0.696651	7.2398	0
6	0.685602	7.125	0
7	0.64807	6.7349	0
8	0.605263	6.2901	0
9	0.599811	6.2334	0
10	0.635023	6.5994	0
11	0.698075	7.2546	0
12	0.720298	7.4856	0
13	0.630478	6.5521	0
14	0.515535	5.3576	0
15	0.416657	4.33	1.7e-05
16	0.353829	3.6771	0.000185
17	0.326142	3.3894	0.000489
18	0.293869	3.054	0.001422
19	0.241942	2.5143	0.0067
20	0.187868	1.9524	0.02674
21	0.170982	1.7769	0.0392
22	0.19168	1.992	0.024448
23	0.234702	2.4391	0.008177
24	0.241211	2.5067	0.006837
25	0.157396	1.6357	0.052406
26	0.054195	0.5632	0.28723
27	-0.031096	-0.3232	0.373598
28	-0.082244	-0.8547	0.197304
29	-0.105857	-1.1001	0.136868
30	-0.134269	-1.3954	0.082884
31	-0.177487	-1.8445	0.033926
32	-0.220631	-2.2929	0.011896
33	-0.227854	-2.3679	0.009833
34	-0.202795	-2.1075	0.018694
35	-0.158584	-1.6481	0.051124
36	-0.147741	-1.5354	0.063809

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.930059	9.6655	0
2	-0.298515	-3.1023	0.001226
3	0.209977	2.1822	0.015633
4	0.141268	1.4681	0.072492
5	0.190875	1.9836	0.024917
6	-0.106636	-1.1082	0.135121
7	-0.058118	-0.604	0.273562
8	0.078873	0.8197	0.207104
9	0.289306	3.0066	0.001643
10	0.151873	1.5783	0.05871
11	0.234388	2.4358	0.008247
12	-0.255704	-2.6574	0.004535
13	-0.698149	-7.2554	0
14	0.084454	0.8777	0.191036
15	-0.166792	-1.7334	0.042943
16	-0.026987	-0.2805	0.38983
17	-0.046667	-0.485	0.314338
18	0.016948	0.1761	0.430261
19	0.09935	1.0325	0.152078
20	-0.007854	-0.0816	0.46755
21	0.027569	0.2865	0.387521
22	-0.101848	-1.0584	0.14611
23	-0.098875	-1.0275	0.153232
24	0.101007	1.0497	0.1481
25	-0.127886	-1.329	0.093319
26	0.014114	0.1467	0.44183
27	0.15067	1.5658	0.060159
28	-0.024817	-0.2579	0.398483
29	-0.032282	-0.3355	0.368956
30	-0.039694	-0.4125	0.340391
31	-0.0041	-0.0426	0.483048
32	-0.045094	-0.4686	0.320138
33	-0.049954	-0.5191	0.302364
34	-0.021468	-0.2231	0.411938
35	0.010861	0.1129	0.455173
36	0.0161	0.1673	0.433717

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229468312dvsixouxaddodht/1tfdh1229468249.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229468312dvsixouxaddodht/1tfdh1229468249.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229468312dvsixouxaddodht/2kd4b1229468249.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229468312dvsixouxaddodht/2kd4b1229468249.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1.0 ; 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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