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ACF olie d=0,D=0

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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 08:21:38 -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/t1229700147z6ggfiqnz41q0jq.htm/, Retrieved Fri, 19 Dec 2008 16:22:29 +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/t1229700147z6ggfiqnz41q0jq.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 «

29.59 30.7 30.52 32.67 33.19 37.13 35.54 37.75 41.84 42.94 49.14 44.61 40.22 44.23 45.85 53.38 53.26 51.8 55.3 57.81 63.96 63.77 59.15 56.12 57.42 63.52 61.71 63.01 68.18 72.03 69.75 74.41 74.33 64.24 60.03 59.44 62.5 55.04 58.34 61.92 67.65 67.68 70.3 75.26 71.44 76.36 81.71 92.6 90.6 92.23 94.09 102.79 109.65 124.05 132.69 135.81 116.07 101.42 75.73 55.48

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	0.931722	7.2171	0
2	0.849666	6.5815	0
3	0.759602	5.8839	0
4	0.675185	5.23	1e-06
5	0.595164	4.6101	1.1e-05
6	0.52541	4.0698	7e-05
7	0.45704	3.5402	0.00039
8	0.393725	3.0498	0.001703
9	0.344983	2.6722	0.004844
10	0.303475	2.3507	0.011021
11	0.26993	2.0909	0.020392
12	0.219553	1.7006	0.047093
13	0.16199	1.2548	0.107214
14	0.119387	0.9248	0.179396
15	0.081938	0.6347	0.264023
16	0.054095	0.419	0.33835
17	0.031659	0.2452	0.403558
18	0.01192	0.0923	0.46337
19	0.003901	0.0302	0.487998
20	0.00782	0.0606	0.475949
21	0.024203	0.1875	0.425959
22	0.033903	0.2626	0.396875
23	0.026511	0.2054	0.418995
24	0.011709	0.0907	0.464018
25	-0.006376	-0.0494	0.480388
26	-0.023749	-0.184	0.427334
27	-0.052731	-0.4085	0.342197
28	-0.077274	-0.5986	0.275858
29	-0.092111	-0.7135	0.239155
30	-0.098101	-0.7599	0.225149
31	-0.102315	-0.7925	0.215587
32	-0.098289	-0.7613	0.224717
33	-0.096706	-0.7491	0.228367
34	-0.112506	-0.8715	0.193486
35	-0.132474	-1.0261	0.154472
36	-0.160245	-1.2412	0.109672
37	-0.188266	-1.4583	0.074987
38	-0.234442	-1.816	0.037185
39	-0.274987	-2.13	0.018639
40	-0.307074	-2.3786	0.01029
41	-0.330788	-2.5623	0.006464
42	-0.350981	-2.7187	0.004279
43	-0.369391	-2.8613	0.0029
44	-0.376124	-2.9134	0.002508
45	-0.3848	-2.9806	0.002075
46	-0.390019	-3.0211	0.001849
47	-0.391964	-3.0361	0.001771
48	-0.390203	-3.0225	0.001842
49	-0.388353	-3.0082	0.001919
50	-0.376185	-2.9139	0.002504
51	-0.360712	-2.7941	0.003489
52	-0.33073	-2.5618	0.006471
53	-0.294097	-2.2781	0.013149
54	-0.244147	-1.8912	0.031717
55	-0.181746	-1.4078	0.082175
56	-0.114948	-0.8904	0.188409
57	-0.058048	-0.4496	0.327296
58	-0.012414	-0.0962	0.461858
59	0.008805	0.0682	0.472924
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.931722	7.2171	0
2	-0.139806	-1.0829	0.141586
3	-0.096415	-0.7468	0.229043
4	0.002833	0.0219	0.491283
5	-0.02193	-0.1699	0.432842
6	0.019057	0.1476	0.441571
7	-0.050173	-0.3886	0.349461
8	-0.014692	-0.1138	0.454887
9	0.067137	0.52	0.302476
10	-0.003846	-0.0298	0.488167
11	0.011883	0.092	0.463483
12	-0.170856	-1.3234	0.095355
13	-0.072293	-0.56	0.28879
14	0.115237	0.8926	0.187814
15	-0.021873	-0.1694	0.433015
16	0.017484	0.1354	0.446362
17	-0.008356	-0.0647	0.474303
18	-0.01228	-0.0951	0.462267
19	0.093696	0.7258	0.235402
20	0.03255	0.2521	0.400902
21	0.0547	0.4237	0.336648
22	-0.07392	-0.5726	0.284533
23	-0.116731	-0.9042	0.184753
24	0.021338	0.1653	0.434637
25	-0.041776	-0.3236	0.373684
26	-0.013888	-0.1076	0.457346
27	-0.114291	-0.8853	0.189767
28	0.014333	0.111	0.455984
29	0.112819	0.8739	0.192832
30	0.005548	0.043	0.482931
31	-0.064252	-0.4977	0.310259
32	0.009112	0.0706	0.471982
33	-0.019543	-0.1514	0.440093
34	-0.074208	-0.5748	0.283785
35	-0.038138	-0.2954	0.384348
36	-0.093567	-0.7248	0.235705
37	-0.01656	-0.1283	0.449181
38	-0.157877	-1.2229	0.113072
39	0.043117	0.334	0.369779
40	0.002181	0.0169	0.493287
41	-0.055824	-0.4324	0.333498
42	-0.049597	-0.3842	0.351102
43	-0.086905	-0.6732	0.251714
44	0.082934	0.6424	0.261528
45	-0.030169	-0.2337	0.408012
46	-0.062975	-0.4878	0.313733
47	-0.003112	-0.0241	0.490425
48	0.008603	0.0666	0.473545
49	0.046923	0.3635	0.358769
50	0.049917	0.3867	0.350189
51	-0.107222	-0.8305	0.204763
52	0.102862	0.7968	0.214364
53	0.019796	0.1533	0.439323
54	0.096717	0.7492	0.228342
55	0.110477	0.8557	0.19777
56	-0.019477	-0.1509	0.440294
57	0.00973	0.0754	0.470086
58	-0.050396	-0.3904	0.348824
59	-0.106084	-0.8217	0.207245
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700147z6ggfiqnz41q0jq/1369v1229700097.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700147z6ggfiqnz41q0jq/1369v1229700097.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700147z6ggfiqnz41q0jq/2v6vs1229700097.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700147z6ggfiqnz41q0jq/2v6vs1229700097.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.2 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.2 ; 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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