PaperACF1Geoffrey

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sat, 20 Dec 2008 07:46:30 -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/20/t1229784484qei9fn91wn55duy.htm/, Retrieved Sat, 20 Dec 2008 15:48:06 +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/20/t1229784484qei9fn91wn55duy.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 «

127,84 132,43 134,13 134,78 133,13 129,08 134,48 132,86 134,08 134,54 134,51 135,97 136,09 139,14 135,63 136,55 138,83 138,84 135,37 132,22 134,75 135,98 136,06 138,05 139,59 140,58 139,81 140,77 140,96 143,59 142,7 145,11 146,7 148,53 148,99 149,65 151,11 154,82 156,56 157,6 155,24 160,68 163,22 164,55 166,76 159,05 159,82 164,95 162,89 163,55 158,68 157,97 156,59 161,56 162,31 166,26 168,45 163,63 153,2 133,52 123,28

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 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.899428 7.0248 0 2 0.786733 6.1446 0 3 0.708086 5.5303 0 4 0.663377 5.1811 1e-06 5 0.642665 5.0194 2e-06 6 0.608494 4.7525 6e-06 7 0.583228 4.5552 1.3e-05 8 0.549969 4.2954 3.2e-05 9 0.503015 3.9287 0.00011 10 0.446609 3.4881 0.000454 11 0.38396 2.9988 0.001959 12 0.338961 2.6474 0.005155 13 0.292212 2.2823 0.012988 14 0.25939 2.0259 0.023577 15 0.18795 1.4679 0.073629 16 0.11253 0.8789 0.191456 17 0.070018 0.5469 0.293235 18 0.034344 0.2682 0.394712 19 -0.00163 -0.0127 0.494941 20 -0.047504 -0.371 0.355955 21 -0.100341 -0.7837 0.218127 22 -0.138541 -1.082 0.141747 23 -0.170156 -1.329 0.094405 24 -0.194625 -1.5201 0.06683 25 -0.221552 -1.7304 0.044309 26 -0.244582 -1.9102 0.030403 27 -0.270283 -2.111 0.01944 28 -0.288972 -2.2569 0.013802 29 -0.304922 -2.3815 0.010189 30 -0.313261 -2.4466 0.008658 31 -0.326135 -2.5472 0.006698 32 -0.337891 -2.639 0.00527 33 -0.351995 -2.7492 0.003925 34 -0.363733 -2.8408 0.003054 35 -0.370785 -2.8959 0.00262 36 -0.371287 -2.8998 0.002592 37 -0.367548 -2.8706 0.002812 38 -0.350697 -2.739 0.004034 39 -0.334026 -2.6088 0.005705 40 -0.306847 -2.3966 0.009815 41 -0.302752 -2.3646 0.010624 42 -0.308512 -2.4096 0.009502 43 -0.299782 -2.3414 0.011248 44 -0.277568 -2.1679 0.01704 45 -0.243729 -1.9036 0.030843 46 -0.237523 -1.8551 0.034207 47 -0.230575 -1.8008 0.038335 48 -0.20263 -1.5826 0.059343 49 -0.180257 -1.4079 0.082125 50 -0.152267 -1.1892 0.119476 51 -0.135078 -1.055 0.147794 52 -0.11376 -0.8885 0.188883 53 -0.096875 -0.7566 0.226096 54 -0.070245 -0.5486 0.29263 55 -0.044671 -0.3489 0.364185 56 -0.032007 -0.25 0.40172 57 -0.001296 -0.0101 0.495977 58 0.03348 0.2615 0.397298 59 0.057835 0.4517 0.326541 60 0.044559 0.348 0.364514 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.899428 7.0248 0 2 -0.116414 -0.9092 0.183405 3 0.121031 0.9453 0.174121 4 0.111627 0.8718 0.193359 5 0.107117 0.8366 0.203039 6 -0.052473 -0.4098 0.341684 7 0.099447 0.7767 0.220166 8 -0.046927 -0.3665 0.357625 9 -0.061806 -0.4827 0.31551 10 -0.07542 -0.589 0.279002 11 -0.070536 -0.5509 0.291857 12 0.007139 0.0558 0.477858 13 -0.086314 -0.6741 0.251387 14 0.043949 0.3433 0.366295 15 -0.265052 -2.0701 0.021341 16 -0.01284 -0.1003 0.460223 17 0.05619 0.4389 0.331158 18 -0.04036 -0.3152 0.376833 19 -0.0647 -0.5053 0.307577 20 -0.014033 -0.1096 0.456542 21 -0.083036 -0.6485 0.259539 22 0.017739 0.1385 0.445131 23 0.016025 0.1252 0.450405 24 0.000247 0.0019 0.499233 25 -0.022187 -0.1733 0.431499 26 -0.015048 -0.1175 0.453414 27 -0.031099 -0.2429 0.404452 28 0.003791 0.0296 0.488239 29 0.015233 0.119 0.452845 30 0.043571 0.3403 0.367399 31 -0.119932 -0.9367 0.176303 32 -0.00369 -0.0288 0.488552 33 -0.031721 -0.2477 0.402581 34 -0.026187 -0.2045 0.41931 35 -0.006453 -0.0504 0.479985 36 -0.014421 -0.1126 0.455346 37 -0.043402 -0.339 0.367894 38 0.058083 0.4536 0.325849 39 0.007498 0.0586 0.476748 40 0.078032 0.6094 0.272245 41 -0.114751 -0.8962 0.186825 42 -0.037217 -0.2907 0.386144 43 0.046355 0.362 0.359284 44 0.003863 0.0302 0.488014 45 0.065565 0.5121 0.305223 46 -0.147511 -1.1521 0.126887 47 0.024785 0.1936 0.423575 48 0.061176 0.4778 0.31725 49 -0.046401 -0.3624 0.359151 50 0.031863 0.2489 0.402153 51 0.008349 0.0652 0.474112 52 -0.041807 -0.3265 0.372572 53 -0.032241 -0.2518 0.401016 54 0.069803 0.5452 0.293809 55 -0.002205 -0.0172 0.493157 56 -0.005054 -0.0395 0.48432 57 0.055432 0.4329 0.333293 58 0.012492 0.0976 0.461299 59 -0.070042 -0.547 0.293171 60 -0.133442 -1.0422 0.150713

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229784484qei9fn91wn55duy/1xznz1229784388.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229784484qei9fn91wn55duy/1xznz1229784388.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229784484qei9fn91wn55duy/2gdyg1229784388.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229784484qei9fn91wn55duy/2gdyg1229784388.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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