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paper ACF d 1

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 18 Dec 2008 08:14:11 -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/18/t1229613286nwh6fk06coa81cd.htm/, Retrieved Thu, 18 Dec 2008 16:14:48 +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/18/t1229613286nwh6fk06coa81cd.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:

Severijns Britt

Dataseries X:

» Textbox « » Textfile « » CSV «

492865 480961 461935 456608 441977 439148 488180 520564 501492 485025 464196 460170 467037 460070 447988 442867 436087 431328 484015 509673 512927 502831 470984 471067 476049 474605 470439 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.2693	2.7331	0.003693
2	-0.181078	-1.8377	0.034491
3	-0.284281	-2.8851	0.002383
4	-0.295946	-3.0035	0.001675
5	0.020508	0.2081	0.417769
6	0.182228	1.8494	0.033633
7	0.038336	0.3891	0.349014
8	-0.262736	-2.6665	0.004451
9	-0.256026	-2.5984	0.005369
10	-0.177627	-1.8027	0.037178
11	0.264885	2.6883	0.004189
12	0.79869	8.1058	0
13	0.193794	1.9668	0.025948
14	-0.123225	-1.2506	0.106957
15	-0.261859	-2.6576	0.004562
16	-0.270442	-2.7447	0.003574
17	0.011671	0.1184	0.452972
18	0.135361	1.3738	0.086249
19	0.014718	0.1494	0.440775
20	-0.257828	-2.6167	0.005107
21	-0.243241	-2.4686	0.007604
22	-0.126283	-1.2816	0.101425
23	0.242617	2.4623	0.007732
24	0.648856	6.5852	0
25	0.129982	1.3192	0.095019
26	-0.141954	-1.4407	0.076354
27	-0.233595	-2.3707	0.009807
28	-0.214489	-2.1768	0.015889
29	0.021968	0.2229	0.412008
30	0.097526	0.9898	0.1623
31	-0.00677	-0.0687	0.472678
32	-0.237344	-2.4088	0.008891
33	-0.204952	-2.08	0.020002
34	-0.112077	-1.1375	0.128994
35	0.204712	2.0776	0.020117
36	0.5676	5.7605	0
37	0.121507	1.2332	0.110162
38	-0.12763	-1.2953	0.099055
39	-0.237994	-2.4154	0.00874
40	-0.190891	-1.9373	0.027722
41	0.006955	0.0706	0.471932
42	0.087539	0.8884	0.188192
43	-0.000965	-0.0098	0.4961
44	-0.209321	-2.1244	0.018016
45	-0.169099	-1.7162	0.044569
46	-0.096322	-0.9776	0.165291
47	0.165976	1.6845	0.047559
48	0.469298	4.7629	3e-06
49	0.10473	1.0629	0.145157
50	-0.110504	-1.1215	0.132343
51	-0.183714	-1.8645	0.03255
52	-0.151496	-1.5375	0.063616
53	-0.018348	-0.1862	0.426322
54	0.078173	0.7934	0.214693
55	-0.005757	-0.0584	0.476763
56	-0.165656	-1.6812	0.047875
57	-0.118816	-1.2058	0.115319
58	-0.081561	-0.8278	0.204863
59	0.151993	1.5426	0.063002
60	0.390931	3.9675	6.7e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.2693	2.7331	0.003693
2	-0.27343	-2.775	0.003278
3	-0.173106	-1.7568	0.040959
4	-0.245137	-2.4879	0.007228
5	0.086209	0.8749	0.191825
6	0.008566	0.0869	0.465445
7	-0.117764	-1.1952	0.117382
8	-0.330292	-3.3521	0.000561
9	-0.122177	-1.24	0.108904
10	-0.255943	-2.5975	0.005382
11	0.219667	2.2294	0.01398
12	0.66572	6.7563	0
13	-0.188871	-1.9168	0.029016
14	0.183135	1.8586	0.032968
15	0.008094	0.0821	0.467346
16	0.087378	0.8868	0.18863
17	-0.036226	-0.3677	0.356941
18	-0.088016	-0.8933	0.186899
19	-0.043942	-0.446	0.32828
20	-0.108024	-1.0963	0.137747
21	-0.061365	-0.6228	0.2674
22	0.06561	0.6659	0.253491
23	-0.146454	-1.4863	0.070122
24	0.086109	0.8739	0.1921
25	-0.127985	-1.2989	0.098439
26	-0.124922	-1.2678	0.10386
27	0.067118	0.6812	0.248645
28	-0.051528	-0.523	0.301065
29	0.009466	0.0961	0.461828
30	-0.081824	-0.8304	0.20411
31	-0.009192	-0.0933	0.462928
32	0.077471	0.7862	0.216765
33	-0.039219	-0.398	0.345715
34	-0.082023	-0.8324	0.203543
35	-0.031309	-0.3178	0.375659
36	0.066193	0.6718	0.251611
37	0.095706	0.9713	0.166834
38	-0.053652	-0.5445	0.293633
39	-0.1016	-1.0311	0.152448
40	0.03828	0.3885	0.349225
41	-0.115105	-1.1682	0.122714
42	0.061092	0.62	0.26831
43	-0.09643	-0.9787	0.165021
44	-0.033992	-0.345	0.365406
45	0.012177	0.1236	0.450941
46	-0.050952	-0.5171	0.303097
47	-0.055008	-0.5583	0.288934
48	-0.058497	-0.5937	0.277013
49	-0.063014	-0.6395	0.261951
50	-0.018629	-0.1891	0.425207
51	0.014844	0.1507	0.440272
52	-0.012068	-0.1225	0.451379
53	-0.010988	-0.1115	0.455712
54	-0.007695	-0.0781	0.468951
55	-0.026206	-0.266	0.3954
56	0.038982	0.3956	0.346601
57	0.01364	0.1384	0.445083
58	-0.021846	-0.2217	0.41249
59	0.032837	0.3333	0.369807
60	-0.076193	-0.7733	0.220567

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613286nwh6fk06coa81cd/1uevt1229613249.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613286nwh6fk06coa81cd/1uevt1229613249.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613286nwh6fk06coa81cd/2waxj1229613249.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613286nwh6fk06coa81cd/2waxj1229613249.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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