Paper - ACF

*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 10:22:27 -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/t1229707369793vpfrxl0octnk.htm/, Retrieved Fri, 19 Dec 2008 18:22:49 +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/t1229707369793vpfrxl0octnk.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 «

90,8 96,4 90 92,1 97,2 95,1 88,5 91 90,5 75 66,3 66 68,4 70,6 83,9 90,1 90,6 87,1 90,8 94,1 99,8 96,8 87 96,3 107,1 115,2 106,1 89,5 91,3 97,6 100,7 104,6 94,7 101,8 102,5 105,3 110,3 109,8 117,3 118,8 131,3 125,9 133,1 147 145,8 164,4 149,8 137,7 151,7 156,8 180 180,4 170,4 191,6 199,5 218,2 217,5 205 194 199,3

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 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.938948 7.2731 0 2 0.879473 6.8124 0 3 0.814056 6.3056 0 4 0.744084 5.7636 0 5 0.681182 5.2764 1e-06 6 0.610952 4.7324 7e-06 7 0.5417 4.196 4.6e-05 8 0.494744 3.8323 0.000153 9 0.444906 3.4462 0.000522 10 0.39474 3.0576 0.001665 11 0.346507 2.684 0.004694 12 0.295399 2.2881 0.012834 13 0.254887 1.9743 0.026475 14 0.20906 1.6194 0.055306 15 0.155348 1.2033 0.11679 16 0.113097 0.876 0.19225 17 0.071145 0.5511 0.29181 18 0.034297 0.2657 0.395704 19 0.010102 0.0783 0.468944 20 -0.022344 -0.1731 0.431586 21 -0.053521 -0.4146 0.339967 22 -0.082612 -0.6399 0.262334 23 -0.107368 -0.8317 0.204446 24 -0.121048 -0.9376 0.176097 25 -0.130031 -1.0072 0.158937 26 -0.145708 -1.1286 0.13177 27 -0.165064 -1.2786 0.102984 28 -0.178285 -1.381 0.086202 29 -0.192594 -1.4918 0.070492 30 -0.202283 -1.5669 0.061202 31 -0.219338 -1.699 0.047251 32 -0.234288 -1.8148 0.037278 33 -0.248202 -1.9226 0.029643 34 -0.265684 -2.058 0.021972 35 -0.287351 -2.2258 0.014898 36 -0.306494 -2.3741 0.010405 37 -0.31972 -2.4765 0.008052 38 -0.327701 -2.5384 0.006875 39 -0.340592 -2.6382 0.0053 40 -0.355866 -2.7565 0.003864 41 -0.362477 -2.8077 0.003361 42 -0.369912 -2.8653 0.002868 43 -0.372395 -2.8846 0.002718 44 -0.369238 -2.8601 0.002909 45 -0.361412 -2.7995 0.003437 46 -0.340221 -2.6353 0.005341 47 -0.310475 -2.4049 0.009639 48 -0.283683 -2.1974 0.015932 49 -0.25163 -1.9491 0.02798 50 -0.220393 -1.7072 0.046482 51 -0.189545 -1.4682 0.073635 52 -0.170739 -1.3225 0.095504 53 -0.157373 -1.219 0.113806 54 -0.134384 -1.0409 0.151041 55 -0.11457 -0.8875 0.189189 56 -0.091868 -0.7116 0.239732 57 -0.065398 -0.5066 0.307156 58 -0.039878 -0.3089 0.379236 59 -0.022944 -0.1777 0.429771 60 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.938948 7.2731 0 2 -0.018171 -0.1407 0.44427 3 -0.081694 -0.6328 0.264635 4 -0.076165 -0.59 0.278711 5 0.021281 0.1648 0.434811 6 -0.094686 -0.7334 0.233074 7 -0.041155 -0.3188 0.3755 8 0.14918 1.1555 0.126224 9 -0.046599 -0.361 0.3597 10 -0.066874 -0.518 0.303181 11 -0.025742 -0.1994 0.421313 12 -0.039195 -0.3036 0.381241 13 0.026324 0.2039 0.419559 14 -0.078589 -0.6088 0.272494 15 -0.081326 -0.6299 0.26556 16 0.047476 0.3678 0.357176 17 -0.023594 -0.1828 0.427801 18 -0.014262 -0.1105 0.456201 19 0.064639 0.5007 0.30921 20 -0.06732 -0.5215 0.301983 21 -0.071915 -0.5571 0.289782 22 -0.038153 -0.2955 0.384303 23 0.047207 0.3657 0.357951 24 0.048314 0.3742 0.354773 25 0.023109 0.179 0.42927 26 -0.071012 -0.5501 0.292161 27 -0.103191 -0.7993 0.21363 28 0.036039 0.2792 0.390541 29 -0.034307 -0.2657 0.395674 30 0.007666 0.0594 0.476422 31 -0.050737 -0.393 0.347853 32 -0.020369 -0.1578 0.437582 33 -0.054584 -0.4228 0.336974 34 -0.05689 -0.4407 0.330519 35 -0.05821 -0.4509 0.326847 36 -0.000942 -0.0073 0.4971 37 0.025036 0.1939 0.423444 38 -0.034592 -0.268 0.394828 39 -0.081575 -0.6319 0.264933 40 -0.028664 -0.222 0.412523 41 0.043199 0.3346 0.36954 42 -0.05397 -0.4181 0.338701 43 -0.004734 -0.0367 0.485437 44 0.01988 0.154 0.439066 45 0.030874 0.2392 0.405901 46 0.079272 0.614 0.270755 47 0.066896 0.5182 0.303122 48 -0.011192 -0.0867 0.465602 49 -0.005577 -0.0432 0.482844 50 -0.019957 -0.1546 0.438832 51 -0.010121 -0.0784 0.468888 52 -0.091842 -0.7114 0.239795 53 -0.007303 -0.0566 0.477539 54 0.104299 0.8079 0.211172 55 -0.032012 -0.248 0.402506 56 0.005387 0.0417 0.483428 57 0.022028 0.1706 0.432544 58 0.00687 0.0532 0.47887 59 -0.109691 -0.8497 0.199444 60 NA NA NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229707369793vpfrxl0octnk/1ocz71229707342.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229707369793vpfrxl0octnk/1ocz71229707342.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229707369793vpfrxl0octnk/2l4rs1229707342.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229707369793vpfrxl0octnk/2l4rs1229707342.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')

Copyright

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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