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ACF 00

*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: Thu, 18 Dec 2008 09:04:09 -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/t12296164127mten3tb6mo49d2.htm/, Retrieved Thu, 18 Dec 2008 17:06:55 +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/t12296164127mten3tb6mo49d2.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 «

897262 1133132 1384548 2324057 2502808 2516762 5579822 4945991 2019915 1830905 1251016 949902 923000 1215747 1479112 2371781 2521576 2350559 5673323 4414295 2016902 1958302 1284086 1186305 957833 1255719 1482709 2361136 2508100 2254488 5669953 4227480 2067790 1958419 1318158 1287921 1076982 1293669 1582053 2393005 2310531 2597899 5507587 4194133 2185092 2122018 1413348 1338342 1052655 1370046 1887027 2448017 2550796 2655837 5269499 4247405 2109722 2143145 1582013 1413221 1118520 1478655 2000108 2085234 2651805 2522176 5170142 4150129 2104254 2211398 1505900 1524305 1093144 1449647 1771197 2445932 2678945 2400737 4796880 4118001 2125714 2125515 1508760 1508765 1091075 1514814 1748997 2424406 2747942 2377332 5210706 3882821 2197469 2271155 1618917 1391579 1143249 1445785 1870242 2597788 2436231 2684184 4705109 4331347 2369192 2283947 1749607 1598601 1221234 1497778 1823567 2489908 2532837 2456065 4627018 4276894 2314950 2238987 1652753 1561968 1115878 1596714 1910242 2286450 2772441 2394538 4715128 4402420 2325392 2306683 1725282 1541370 1168142 1457835 1816380 2446552 2575774 2537852 4728097 4372685 2302672 2346402 1689915 1576183

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	0.569537	6.8344	0
2	0.166064	1.9928	0.024089
3	-0.020864	-0.2504	0.40133
4	-0.333002	-3.996	5.1e-05
5	-0.547758	-6.5731	0
6	-0.648622	-7.7835	0
7	-0.521239	-6.2549	0
8	-0.287158	-3.4459	0.000373
9	0.000907	0.0109	0.495667
10	0.167254	2.0071	0.023308
11	0.529174	6.3501	0
12	0.895456	10.7455	0
13	0.510938	6.1313	0
14	0.152741	1.8329	0.034442
15	-0.015597	-0.1872	0.425896
16	-0.297853	-3.5742	0.000239
17	-0.489524	-5.8743	0
18	-0.585653	-7.0278	0
19	-0.469033	-5.6284	0
20	-0.259613	-3.1154	0.001109
21	-0.006671	-0.08	0.468155
22	0.148489	1.7819	0.038439
23	0.472458	5.6695	0
24	0.803156	9.6379	0
25	0.465097	5.5812	0
26	0.137616	1.6514	0.050419
27	-0.013148	-0.1578	0.437426
28	-0.26557	-3.1868	0.000882
29	-0.44287	-5.3144	0
30	-0.529885	-6.3586	0
31	-0.420277	-5.0433	1e-06
32	-0.232622	-2.7915	0.00298
33	-0.0106	-0.1272	0.449481
34	0.136471	1.6376	0.051839
35	0.417201	5.0064	1e-06
36	0.717355	8.6083	0
37	0.424642	5.0957	1e-06
38	0.125851	1.5102	0.06659
39	-0.006701	-0.0804	0.468009
40	-0.237095	-2.8451	0.002543
41	-0.398237	-4.7788	2e-06
42	-0.475233	-5.7028	0
43	-0.373201	-4.4784	8e-06
44	-0.210387	-2.5246	0.006333
45	-0.008857	-0.1063	0.457751
46	0.122471	1.4696	0.071919
47	0.361359	4.3363	1.4e-05
48	0.635653	7.6278	0
49	0.37779	4.5335	6e-06
50	0.108893	1.3067	0.096697
51	-0.003317	-0.0398	0.484152
52	-0.210174	-2.5221	0.006377
53	-0.351459	-4.2175	2.2e-05
54	-0.415923	-4.9911	1e-06
55	-0.32755	-3.9306	6.6e-05
56	-0.185544	-2.2265	0.013766
57	-0.00909	-0.1091	0.456644
58	0.103685	1.2442	0.107721
59	0.313792	3.7655	0.000121
60	0.556075	6.6729	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.569537	6.8344	0
2	-0.234314	-2.8118	0.002807
3	-0.006506	-0.0781	0.468941
4	-0.433058	-5.1967	0
5	-0.240378	-2.8845	0.002261
6	-0.456869	-5.4824	0
7	-0.159092	-1.9091	0.029119
8	-0.34968	-4.1962	2.4e-05
9	-0.106656	-1.2799	0.101325
10	-0.637672	-7.6521	0
11	0.437048	5.2446	0
12	0.381102	4.5732	5e-06
13	-0.375015	-4.5002	7e-06
14	-0.015745	-0.1889	0.425201
15	0.020903	0.2508	0.40115
16	0.177424	2.1291	0.017474
17	0.093554	1.1226	0.131729
18	0.064307	0.7717	0.220785
19	0.035357	0.4243	0.335995
20	-0.053764	-0.6452	0.259922
21	0.104256	1.2511	0.106468
22	0.058313	0.6998	0.242604
23	0.043561	0.5227	0.300983
24	0.094179	1.1301	0.130147
25	0.010467	0.1256	0.45011
26	-0.032226	-0.3867	0.34977
27	0.03905	0.4686	0.320032
28	0.043902	0.5268	0.299561
29	0.004649	0.0558	0.477792
30	0.019442	0.2333	0.40793
31	0.009296	0.1115	0.455669
32	-0.011158	-0.1339	0.446834
33	-0.010406	-0.1249	0.4504
34	0.049447	0.5934	0.276935
35	-0.081993	-0.9839	0.163402
36	0.042688	0.5123	0.304628
37	-0.018834	-0.226	0.410757
38	0.030175	0.3621	0.358904
39	-0.033562	-0.4027	0.343865
40	-0.001552	-0.0186	0.492583
41	0.008419	0.101	0.459836
42	0.021904	0.2629	0.39652
43	0.028527	0.3423	0.366303
44	-0.012939	-0.1553	0.438415
45	0.066701	0.8004	0.212394
46	-0.044573	-0.5349	0.296781
47	0.029489	0.3539	0.361979
48	-0.017696	-0.2124	0.416065
49	-0.00411	-0.0493	0.480366
50	-0.011074	-0.1329	0.447233
51	-0.010031	-0.1204	0.452178
52	-0.01826	-0.2191	0.413434
53	-0.000685	-0.0082	0.496725
54	0.00252	0.0302	0.487957
55	-0.030207	-0.3625	0.358762
56	0.003858	0.0463	0.481568
57	-0.039766	-0.4772	0.316974
58	-0.00673	-0.0808	0.467874
59	0.026696	0.3204	0.374583
60	-0.0879	-1.0548	0.146641

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12296164127mten3tb6mo49d2/17dth1229616246.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12296164127mten3tb6mo49d2/17dth1229616246.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12296164127mten3tb6mo49d2/2onvq1229616246.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t12296164127mten3tb6mo49d2/2onvq1229616246.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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