Home » date » 2008 » Dec » 18 »

acf d=1 D=1

*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 12:00:40 -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/t1229626881rv33tkdy73dywog.htm/, Retrieved Thu, 18 Dec 2008 20:01:23 +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/t1229626881rv33tkdy73dywog.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 «

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 517945

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	-0.08259	-0.5662	0.286973
2	0.061375	0.4208	0.337921
3	0.187035	1.2822	0.103023
4	0.094452	0.6475	0.260219
5	-0.061181	-0.4194	0.338405
6	0.065146	0.4466	0.328601
7	-0.012371	-0.0848	0.466387
8	0.095336	0.6536	0.25828
9	-0.050178	-0.344	0.366189
10	-0.106513	-0.7302	0.23444
11	0.206314	1.4144	0.081915
12	-0.234678	-1.6089	0.057171
13	-0.173414	-1.1889	0.120232
14	0.108197	0.7418	0.230961
15	-0.112134	-0.7688	0.222943
16	-0.165558	-1.135	0.131064
17	0.00513	0.0352	0.486047
18	-0.008811	-0.0604	0.476044
19	0.030495	0.2091	0.417651
20	0.010763	0.0738	0.470746
21	0.002571	0.0176	0.493005
22	0.049682	0.3406	0.367461
23	0.039177	0.2686	0.394713
24	-0.103062	-0.7066	0.241665
25	0.021363	0.1465	0.442094
26	-0.054055	-0.3706	0.356306
27	-0.032154	-0.2204	0.413244
28	-0.026235	-0.1799	0.429018
29	0.105118	0.7207	0.237346
30	-0.075021	-0.5143	0.304721
31	-0.000736	-0.005	0.497997
32	-0.026992	-0.185	0.426994
33	0.004549	0.0312	0.487625
34	-0.098759	-0.6771	0.250844
35	-0.040693	-0.279	0.390744
36	-0.040028	-0.2744	0.392482
37	-0.000357	-0.0025	0.499028
38	5.5e-05	4e-04	0.49985
39	-0.02133	-0.1462	0.442182
40	0.026282	0.1802	0.428894
41	-0.066974	-0.4591	0.324122
42	-0.017996	-0.1234	0.451168
43	0.038886	0.2666	0.395475
44	-0.031347	-0.2149	0.415387
45	-0.016036	-0.1099	0.456463
46	0.007277	0.0499	0.48021
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.08259	-0.5662	0.286973
2	0.054929	0.3766	0.354093
3	0.198309	1.3595	0.090232
4	0.129457	0.8875	0.189661
5	-0.068432	-0.4691	0.320566
6	-0.001735	-0.0119	0.495281
7	-0.042736	-0.293	0.385412
8	0.107	0.7336	0.233431
9	-0.027676	-0.1897	0.425165
10	-0.142432	-0.9765	0.166916
11	0.173516	1.1896	0.120096
12	-0.215151	-1.475	0.07344
13	-0.189945	-1.3022	0.099597
14	0.070713	0.4848	0.31504
15	-0.050178	-0.344	0.36619
16	-0.06623	-0.454	0.325942
17	-0.040696	-0.279	0.390735
18	0.0426	0.2921	0.385766
19	0.091833	0.6296	0.26601
20	0.072142	0.4946	0.311601
21	0.057388	0.3934	0.347891
22	-0.083445	-0.5721	0.285
23	0.097473	0.6682	0.253624
24	-0.071321	-0.4889	0.313576
25	-0.170081	-1.166	0.124746
26	-0.060534	-0.415	0.340014
27	-0.002218	-0.0152	0.493967
28	-0.076577	-0.525	0.30103
29	0.098145	0.6728	0.25217
30	-0.036529	-0.2504	0.401673
31	-0.018663	-0.1279	0.449369
32	-0.000958	-0.0066	0.497393
33	0.04115	0.2821	0.389549
34	-0.107563	-0.7374	0.232268
35	0.011876	0.0814	0.467726
36	0.015394	0.1055	0.4582
37	-0.076819	-0.5266	0.300458
38	0.028577	0.1959	0.422762
39	0.012842	0.088	0.465109
40	-0.091936	-0.6303	0.265782
41	-0.071421	-0.4896	0.313335
42	-0.017487	-0.1199	0.452543
43	0.008965	0.0615	0.475626
44	-0.008814	-0.0604	0.476037
45	0.091919	0.6302	0.26582
46	-0.065845	-0.4514	0.326886
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229626881rv33tkdy73dywog/1c6x71229626838.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229626881rv33tkdy73dywog/1c6x71229626838.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229626881rv33tkdy73dywog/2g2v61229626838.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229626881rv33tkdy73dywog/2g2v61229626838.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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