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ACF paper

*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: Sat, 20 Dec 2008 10:35:22 -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/t1229794641vrcw3gbmg642j5e.htm/, Retrieved Sat, 20 Dec 2008 18:37:23 +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/t1229794641vrcw3gbmg642j5e.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 «

2175 2197 2350 2440 2409 2473 2408 2455 2448 2498 2646 2757 2849 2921 2982 3081 3106 3119 3061 3097 3162 3257 3277 3295 3364 3494 3667 3813 3918 3896 3801 3570 3702 3862 3970 4139 4200 4291 4444 4503 4357 4591 4697 4621 4563 4203 4296 4435 4105 4117 3844 3721 3674 3858 3801 3504 3033 3047 2962 2198 2014

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	0.288982	2.2384	0.014457
2	0.064992	0.5034	0.308254
3	0.227802	1.7645	0.041365
4	0.18939	1.467	0.073798
5	0.220762	1.71	0.046215
6	0.082449	0.6386	0.262742
7	0.053943	0.4178	0.338777
8	0.166572	1.2903	0.100955
9	0.124457	0.964	0.169447
10	0.060142	0.4659	0.321503
11	0.259328	2.0087	0.024535
12	0.044338	0.3434	0.366233
13	-0.026738	-0.2071	0.418313
14	0.189679	1.4693	0.073494
15	0.051781	0.4011	0.344887
16	0.03687	0.2856	0.388087
17	-0.068945	-0.534	0.297641
18	-0.1549	-1.1999	0.117457
19	0.021685	0.168	0.433584
20	-0.033057	-0.2561	0.39939
21	-0.104319	-0.8081	0.211126
22	-0.11235	-0.8703	0.193814
23	-0.099339	-0.7695	0.222314
24	-0.09304	-0.7207	0.236951
25	0.032271	0.25	0.401732
26	-0.031827	-0.2465	0.403055
27	-0.042081	-0.326	0.372794
28	0.027224	0.2109	0.416851
29	-0.036826	-0.2853	0.388216
30	-0.050234	-0.3891	0.349285
31	-0.074937	-0.5805	0.281889
32	-0.068305	-0.5291	0.299348
33	-0.115128	-0.8918	0.188038
34	-0.104772	-0.8116	0.210126
35	-0.129107	-1.0001	0.16065
36	-0.040095	-0.3106	0.3786

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.288982	2.2384	0.014457
2	-0.020206	-0.1565	0.438076
3	0.23412	1.8135	0.03738
4	0.068477	0.5304	0.298889
5	0.176749	1.3691	0.088037
6	-0.070492	-0.546	0.293535
7	0.019318	0.1496	0.440776
8	0.073072	0.566	0.286749
9	0.028603	0.2216	0.412704
10	-0.007914	-0.0613	0.47566
11	0.248022	1.9212	0.029733
12	-0.170033	-1.3171	0.096412
13	-0.02012	-0.1559	0.438336
14	0.116305	0.9009	0.185623
15	-0.076912	-0.5958	0.276788
16	-0.007436	-0.0576	0.47713
17	-0.133874	-1.037	0.151953
18	-0.141266	-1.0942	0.139111
19	-0.001854	-0.0144	0.494294
20	-0.046565	-0.3607	0.359798
21	0.002969	0.023	0.490865
22	-0.146991	-1.1386	0.129701
23	0.017039	0.132	0.447719
24	-0.048823	-0.3782	0.353316
25	0.078716	0.6097	0.272172
26	0.05348	0.4143	0.340083
27	0.071608	0.5547	0.29059
28	0.05712	0.4424	0.329878
29	0.056414	0.437	0.331846
30	-0.107597	-0.8334	0.203951
31	0.018814	0.1457	0.442311
32	0.013697	0.1061	0.457929
33	-0.100879	-0.7814	0.218819
34	-0.028735	-0.2226	0.412311
35	-0.126103	-0.9768	0.166298
36	0.029859	0.2313	0.40894

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229794641vrcw3gbmg642j5e/1j2p11229794520.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229794641vrcw3gbmg642j5e/1j2p11229794520.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229794641vrcw3gbmg642j5e/2jbv81229794520.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/20/t1229794641vrcw3gbmg642j5e/2jbv81229794520.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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