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(P)ACF olie

*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 10:15:28 -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/t12297069671eqlmgisn3gpo57.htm/, Retrieved Fri, 19 Dec 2008 18:16:09 +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/t12297069671eqlmgisn3gpo57.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 «

20.72 21.45 22.09 21.53 23.35 23.57 26.42 25.21 26.44 29.34 29.40 33.05 28.38 26.01 29.31 30.36 35.75 36.15 34.21 37.91 38.70 42.12 42.16 39.80 37.36 38.35 42.60 41.25 42.16 46.94 47.43 47.06 50.18 50.13 43.23 40.04 40.37 42.21 37.00 39.74 42.68 46.29 46.97 48.73 52.37 50.05 54.04 57.78 64.72 63.41 64.36 66.03 72.14 76.60 86.97 93.48 95.59 81.89 70.55 50.38 36.25

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.418581	-3.2152	0.001058
2	0.011595	0.0891	0.464666
3	0.032447	0.2492	0.402026
4	-0.097307	-0.7474	0.228888
5	0.205065	1.5751	0.060286
6	-0.211843	-1.6272	0.054512
7	0.125081	0.9608	0.170295
8	0.022994	0.1766	0.430207
9	-0.278992	-2.143	0.018125
10	0.225539	1.7324	0.044214
11	0.059364	0.456	0.325039
12	-0.008197	-0.063	0.475003
13	-0.088804	-0.6821	0.248917
14	-0.097196	-0.7466	0.229141
15	0.239564	1.8401	0.03539
16	-0.121482	-0.9331	0.177281
17	-0.005263	-0.0404	0.483944
18	0.023858	0.1833	0.427614
19	-0.088313	-0.6783	0.250104
20	-0.043164	-0.3315	0.370702
21	0.053878	0.4138	0.340243
22	0.016408	0.126	0.450067
23	0.039602	0.3042	0.381027
24	-0.137505	-1.0562	0.147592
25	0.096772	0.7433	0.230119
26	0.059599	0.4578	0.324394
27	-0.032224	-0.2475	0.402684
28	0.026325	0.2022	0.420224
29	-0.067166	-0.5159	0.303922
30	0.005247	0.0403	0.483993
31	-0.006738	-0.0518	0.47945
32	-0.007651	-0.0588	0.476666
33	0.086587	0.6651	0.254293
34	-0.148996	-1.1445	0.128527
35	0.111275	0.8547	0.198081
36	-0.084511	-0.6491	0.259382
37	0.079543	0.611	0.271779
38	-0.014778	-0.1135	0.455006
39	0.008787	0.0675	0.473209
40	0.014125	0.1085	0.456984
41	-0.070663	-0.5428	0.294665
42	0.084708	0.6507	0.258898
43	-0.105384	-0.8095	0.210749
44	0.042238	0.3244	0.373377
45	-0.037545	-0.2884	0.387031
46	-0.007918	-0.0608	0.475855
47	0.063455	0.4874	0.313888
48	-0.02293	-0.1761	0.430397
49	-0.011881	-0.0913	0.463797
50	0.036485	0.2802	0.390134
51	-0.071553	-0.5496	0.292331
52	0.06262	0.481	0.316151
53	-0.061864	-0.4752	0.318204
54	0.035538	0.273	0.392915
55	-0.035398	-0.2719	0.393326
56	0.015519	0.1192	0.452759
57	-0.000373	-0.0029	0.498861
58	2e-06	0	0.499993
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.418581	-3.2152	0.001058
2	-0.198371	-1.5237	0.066461
3	-0.056506	-0.434	0.332925
4	-0.128754	-0.989	0.163356
5	0.141991	1.0907	0.13993
6	-0.091029	-0.6992	0.243585
7	0.033869	0.2602	0.397826
8	0.07261	0.5577	0.289571
9	-0.269827	-2.0726	0.021295
10	-0.048033	-0.369	0.356743
11	0.19666	1.5106	0.068117
12	0.117211	0.9003	0.185806
13	-0.059846	-0.4597	0.323717
14	-0.119814	-0.9203	0.18058
15	0.083143	0.6386	0.262767
16	0.036503	0.2804	0.390082
17	-0.014405	-0.1106	0.456136
18	-0.07115	-0.5465	0.293388
19	-0.055584	-0.4269	0.335487
20	-0.131584	-1.0107	0.15814
21	-0.010344	-0.0795	0.46847
22	-0.090494	-0.6951	0.244861
23	0.008354	0.0642	0.474527
24	0.025011	0.1921	0.424158
25	0.052125	0.4004	0.345161
26	0.023053	0.1771	0.430028
27	0.030107	0.2313	0.408958
28	0.041977	0.3224	0.374132
29	-0.017107	-0.1314	0.447954
30	-0.04954	-0.3805	0.352461
31	-0.017403	-0.1337	0.447058
32	-0.01681	-0.1291	0.448852
33	0.032636	0.2507	0.401465
34	-0.09669	-0.7427	0.230308
35	0.095164	0.731	0.233845
36	-0.081456	-0.6257	0.26697
37	0.010485	0.0805	0.46804
38	-0.076054	-0.5842	0.280664
39	0.077292	0.5937	0.277495
40	0.004718	0.0362	0.485608
41	-0.013857	-0.1064	0.457798
42	0.02744	0.2108	0.416897
43	-0.135583	-1.0414	0.150962
44	-0.014844	-0.114	0.454806
45	-0.031694	-0.2434	0.404251
46	-0.005901	-0.0453	0.482
47	0.031369	0.241	0.405215
48	0.07837	0.602	0.274749
49	-0.041668	-0.3201	0.375029
50	-0.049874	-0.3831	0.351514
51	-0.035846	-0.2753	0.392008
52	-0.051507	-0.3956	0.3469
53	-0.03055	-0.2347	0.407643
54	-0.029953	-0.2301	0.409415
55	-0.012842	-0.0986	0.46088
56	0.027448	0.2108	0.416873
57	-0.009666	-0.0742	0.470533
58	-0.012074	-0.0927	0.463212
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/t12297069671eqlmgisn3gpo57/1z0z51229706926.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12297069671eqlmgisn3gpo57/1z0z51229706926.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12297069671eqlmgisn3gpo57/2e2np1229706926.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t12297069671eqlmgisn3gpo57/2e2np1229706926.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = -0.1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = -0.1 ; par3 = 2 ; 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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