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paper: (p)acf omzet

*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 09:03:40 -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/19/t1229702672qg9l1ziyyycmv8k.htm/, Retrieved Fri, 19 Dec 2008 17:04:33 +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/t1229702672qg9l1ziyyycmv8k.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 «

124.1 110.7 128.1 108.9 111.2 131.9 120.5 115.4 130.8 112.6 111.1 129.5 131.8 127.7 142.6 115.8 119.5 139.8 130.6 126.2 141.7 118.9 120.3 141.2 138.9 141.3 153.7 131 136.5 160.1 139.8 143.8 155.8 131 131.8 151.7 153.8 152.9 156.1 147.2 145.7 165.3 147.4 154.4 165.3 145.2 139.7 158.4 169.1 162.1 166.2 157.2 161.4 169 171.8 161.4 175.7 164.7 146.1 173

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.679773	5.2655	1e-06
2	0.610625	4.7299	7e-06
3	0.751688	5.8226	0
4	0.537076	4.1602	5.1e-05
5	0.534666	4.1415	5.5e-05
6	0.691072	5.353	1e-06
7	0.465098	3.6026	0.00032
8	0.388156	3.0066	0.001927
9	0.495224	3.836	0.000151
10	0.291981	2.2617	0.013677
11	0.309111	2.3944	0.009895
12	0.474982	3.6792	0.000251
13	0.246654	1.9106	0.030421
14	0.17621	1.3649	0.088688
15	0.313078	2.4251	0.009166
16	0.130128	1.008	0.158759
17	0.099927	0.774	0.220975
18	0.248609	1.9257	0.029441
19	0.058686	0.4546	0.325527
20	-0.00205	-0.0159	0.493692
21	0.070463	0.5458	0.293612
22	-0.080077	-0.6203	0.268713
23	-0.082388	-0.6382	0.262894
24	0.031667	0.2453	0.403535
25	-0.126088	-0.9767	0.166326
26	-0.179101	-1.3873	0.08524
27	-0.065103	-0.5043	0.307953
28	-0.197516	-1.53	0.065642
29	-0.222444	-1.723	0.045016
30	-0.101537	-0.7865	0.217334
31	-0.225107	-1.7437	0.043169
32	-0.282521	-2.1884	0.016272
33	-0.217216	-1.6825	0.04883
34	-0.311114	-2.4099	0.009521
35	-0.331559	-2.5682	0.006364
36	-0.247818	-1.9196	0.029834
37	-0.328665	-2.5458	0.006744
38	-0.350638	-2.716	0.004309
39	-0.264741	-2.0507	0.022337
40	-0.334348	-2.5898	0.006017
41	-0.339522	-2.6299	0.005417
42	-0.255587	-1.9798	0.026161
43	-0.310483	-2.405	0.009637
44	-0.333008	-2.5795	0.006182
45	-0.265049	-2.0531	0.022217
46	-0.313951	-2.4319	0.009012
47	-0.32761	-2.5377	0.006888
48	-0.277671	-2.1508	0.017764
49	-0.288242	-2.2327	0.014656
50	-0.274281	-2.1246	0.018876
51	-0.20666	-1.6008	0.057339
52	-0.221991	-1.7195	0.045336
53	-0.210912	-1.6337	0.053777
54	-0.140333	-1.087	0.140689
55	-0.140824	-1.0908	0.139856
56	-0.120164	-0.9308	0.177846
57	-0.048421	-0.3751	0.354467
58	-0.052371	-0.4057	0.343215
59	-0.027765	-0.2151	0.415222
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.679773	5.2655	1e-06
2	0.276132	2.1389	0.018261
3	0.530321	4.1078	6.1e-05
4	-0.258983	-2.0061	0.024681
5	0.175494	1.3594	0.089558
6	0.259813	2.0125	0.024331
7	-0.240817	-1.8654	0.033511
8	-0.196859	-1.5249	0.066273
9	0.00611	0.0473	0.481205
10	-0.132005	-1.0225	0.155322
11	0.175423	1.3588	0.089644
12	0.20099	1.5569	0.062382
13	-0.188354	-1.459	0.074892
14	-0.186555	-1.4451	0.076823
15	0.111951	0.8672	0.194653
16	0.011209	0.0868	0.465549
17	-0.118469	-0.9177	0.181236
18	-0.045989	-0.3562	0.36146
19	-0.030193	-0.2339	0.407941
20	0.00904	0.07	0.472205
21	-0.178348	-1.3815	0.086127
22	0.034749	0.2692	0.394365
23	0.030238	0.2342	0.407804
24	-0.017669	-0.1369	0.445799
25	0.000377	0.0029	0.49884
26	-0.045879	-0.3554	0.361776
27	0.040587	0.3144	0.377158
28	-0.001655	-0.0128	0.494906
29	-0.051143	-0.3962	0.3467
30	-0.068247	-0.5286	0.299502
31	-0.041197	-0.3191	0.375376
32	-0.022892	-0.1773	0.429926
33	-0.108796	-0.8427	0.201362
34	-0.006339	-0.0491	0.480501
35	-0.042492	-0.3291	0.371597
36	-0.021031	-0.1629	0.43557
37	0.094853	0.7347	0.232683
38	0.050793	0.3934	0.347693
39	0.015978	0.1238	0.450956
40	-0.02854	-0.2211	0.412893
41	0.041624	0.3224	0.374128
42	-0.108751	-0.8424	0.201461
43	-0.071354	-0.5527	0.29126
44	0.010953	0.0848	0.466334
45	-0.014414	-0.1116	0.455738
46	-0.079158	-0.6132	0.271044
47	-0.039098	-0.3029	0.381524
48	-0.019452	-0.1507	0.440369
49	0.153773	1.1911	0.119149
50	0.089062	0.6899	0.246468
51	0.090286	0.6994	0.243517
52	-0.038608	-0.2991	0.382966
53	0.040736	0.3155	0.376725
54	0.038732	0.3	0.382601
55	-0.033269	-0.2577	0.398761
56	-0.061711	-0.478	0.31719
57	-0.013635	-0.1056	0.458119
58	0.006384	0.0495	0.480362
59	0.127652	0.9888	0.163368
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229702672qg9l1ziyyycmv8k/1mdyv1229702614.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229702672qg9l1ziyyycmv8k/1mdyv1229702614.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229702672qg9l1ziyyycmv8k/255941229702614.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229702672qg9l1ziyyycmv8k/255941229702614.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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