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ACF paper

*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: Fri, 19 Dec 2008 08:15:09 -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/19/t1229699752dhe01k7cxmfl5uq.htm/, Retrieved Fri, 19 Dec 2008 16:15:54 +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/19/t1229699752dhe01k7cxmfl5uq.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 «

17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572

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	0.38219	2.6753	0.00506
2	0.327405	2.2918	0.013126
3	-0.015264	-0.1068	0.457673
4	-0.074624	-0.5224	0.301884
5	-0.088615	-0.6203	0.268966
6	0.001044	0.0073	0.4971
7	-0.000238	-0.0017	0.499339
8	0.10189	0.7132	0.239543
9	-0.021047	-0.1473	0.441739
10	-0.210565	-1.474	0.073445
11	-0.358957	-2.5127	0.007661
12	-0.404546	-2.8318	0.003349
13	-0.35705	-2.4993	0.007921
14	-0.156493	-1.0955	0.139337
15	-0.03026	-0.2118	0.416563
16	0.111716	0.782	0.218986
17	0.095112	0.6658	0.254336
18	0.143959	1.0077	0.159271
19	0.107735	0.7541	0.227185
20	0.085345	0.5974	0.276491
21	0.16243	1.137	0.130532
22	0.019134	0.1339	0.447
23	0.240081	1.6806	0.049606
24	0.124754	0.8733	0.193385
25	0.170708	1.195	0.118928
26	0.068086	0.4766	0.317881
27	0.015685	0.1098	0.456509
28	-0.11418	-0.7993	0.213999
29	-0.070088	-0.4906	0.312943
30	-0.204662	-1.4326	0.079156
31	-0.191635	-1.3414	0.09298
32	-0.164104	-1.1487	0.128122
33	-0.146797	-1.0276	0.154596
34	-0.043975	-0.3078	0.379759
35	-0.005381	-0.0377	0.485054
36	-0.087051	-0.6094	0.272553
37	-0.059215	-0.4145	0.340158
38	-0.113974	-0.7978	0.214413
39	0.008132	0.0569	0.477418
40	-0.035922	-0.2515	0.401259
41	0.014845	0.1039	0.458831
42	0.041465	0.2903	0.386423
43	0.107563	0.7529	0.227545
44	0.109968	0.7698	0.222563
45	0.028924	0.2025	0.420194
46	-0.008275	-0.0579	0.477022
47	0.011127	0.0779	0.469118
48	-0.01638	-0.1147	0.45459
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	0.38219	2.6753	0.00506
2	0.212354	1.4865	0.07178
3	-0.239118	-1.6738	0.050269
4	-0.092297	-0.6461	0.26062
5	0.057284	0.401	0.345087
6	0.086708	0.607	0.273342
7	-0.041059	-0.2874	0.387503
8	0.073656	0.5156	0.304229
9	-0.091338	-0.6394	0.26278
10	-0.306408	-2.1449	0.018474
11	-0.227994	-1.596	0.058464
12	-0.103024	-0.7212	0.237116
13	-0.109874	-0.7691	0.222758
14	0.012484	0.0874	0.465361
15	0.04076	0.2853	0.3883
16	0.056391	0.3947	0.347374
17	-0.022557	-0.1579	0.437593
18	0.146798	1.0276	0.154595
19	0.165815	1.1607	0.125692
20	0.002325	0.0163	0.49354
21	0.111006	0.777	0.220434
22	-0.243523	-1.7047	0.047296
23	0.074684	0.5228	0.301739
24	-0.075182	-0.5263	0.300537
25	-0.0556	-0.3892	0.349408
26	-0.008497	-0.0595	0.476406
27	-0.019316	-0.1352	0.446499
28	-0.05844	-0.4091	0.342132
29	0.066421	0.4649	0.322014
30	-0.001395	-0.0098	0.496124
31	-0.063063	-0.4414	0.330418
32	0.017778	0.1244	0.450736
33	-0.007031	-0.0492	0.480474
34	0.063661	0.4456	0.328915
35	0.029072	0.2035	0.419791
36	-0.097883	-0.6852	0.248229
37	-0.096204	-0.6734	0.251919
38	-0.06609	-0.4626	0.322838
39	0.035464	0.2482	0.402491
40	-0.110683	-0.7748	0.221096
41	-0.174066	-1.2185	0.114442
42	-0.062215	-0.4355	0.332553
43	0.02232	0.1562	0.438243
44	-0.046441	-0.3251	0.373249
45	0.005749	0.0402	0.484033
46	0.014256	0.0998	0.460459
47	0.109459	0.7662	0.223612
48	-0.039059	-0.2734	0.392843
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/19/t1229699752dhe01k7cxmfl5uq/159sx1229699707.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229699752dhe01k7cxmfl5uq/159sx1229699707.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229699752dhe01k7cxmfl5uq/2e0co1229699707.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229699752dhe01k7cxmfl5uq/2e0co1229699707.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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