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paper-ACF d=1

*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: Sun, 21 Dec 2008 08:01:09 -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/21/t1229871757ojkiup03tpz9l2d.htm/, Retrieved Sun, 21 Dec 2008 16:02:39 +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/21/t1229871757ojkiup03tpz9l2d.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 «

7.5 7.2 6.9 6.7 6.4 6.3 6.8 7.3 7.1 7.1 6.8 6.5 6.3 6.1 6.1 6.3 6.3 6 6.2 6.4 6.8 7.5 7.5 7.6 7.6 7.4 7.3 7.1 6.9 6.8 7.5 7.6 7.8 8 8.1 8.2 8.3 8.2 8 7.9 7.6 7.6 8.2 8.3 8.4 8.4 8.4 8.6 8.9 8.8 8.3 7.5 7.2 7.5 8.8 9.3 9.3 8.7 8.2 8.3 8.5 8.6 8.6 8.2 8.1 8 8.6 8.7 8.8 8.5 8.4 8.5 8.7 8.7 8.6 8.5 8.3 8.1 8.2 8.1 8.1 7.9 7.9 7.9 8 8 7.9 8 7.7 7.2 7.5 7.3 7 7 7 7.2 7.3 7.1 6.8 6.6 6.2 6.2 6.8 6.9 6.8 6.7

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	0.374375	3.8362	0.000107
2	-0.111673	-1.1443	0.127548
3	-0.383235	-3.927	7.7e-05
4	-0.380265	-3.8966	8.6e-05
5	-0.067754	-0.6943	0.244523
6	0.215605	2.2093	0.014663
7	0.110135	1.1285	0.130831
8	-0.095606	-0.9797	0.164751
9	-0.151279	-1.5501	0.062057
10	-0.119985	-1.2295	0.110819
11	0.138843	1.4227	0.078891
12	0.487941	4.9999	1e-06
13	0.142379	1.4589	0.073782
14	-0.004474	-0.0458	0.481761
15	-0.144056	-1.4761	0.07145
16	-0.156118	-1.5997	0.056331
17	-0.048104	-0.4929	0.31155
18	0.082959	0.8501	0.198609
19	-0.031101	-0.3187	0.375296
20	-0.136572	-1.3994	0.082313
21	-0.128561	-1.3174	0.095292
22	-0.062082	-0.6362	0.26303
23	0.132163	1.3543	0.08928
24	0.32649	3.3455	0.00057
25	0.057321	0.5874	0.27911
26	-0.033865	-0.347	0.364639
27	-0.106635	-1.0927	0.138517
28	-0.085086	-0.8719	0.192634
29	-0.026869	-0.2753	0.391804
30	0.003852	0.0395	0.484295
31	-0.054132	-0.5547	0.290144
32	-0.099314	-1.0177	0.155588
33	-0.025401	-0.2603	0.397578
34	0.012999	0.1332	0.447144
35	0.069734	0.7146	0.238234
36	0.16421	1.6826	0.047707
37	-0.069528	-0.7124	0.238883
38	-0.057642	-0.5907	0.27801
39	-0.018996	-0.1947	0.42302
40	0.080603	0.8259	0.205358
41	0.115035	1.1788	0.120578
42	0.033022	0.3384	0.367879
43	-0.140673	-1.4415	0.076215
44	-0.295368	-3.0266	0.001555
45	-0.173058	-1.7733	0.039537
46	-0.034726	-0.3558	0.36134
47	0.190492	1.952	0.026803
48	0.327005	3.3508	0.00056
49	0.091365	0.9362	0.175656
50	-0.085387	-0.875	0.191798
51	-0.145273	-1.4886	0.069795
52	-0.082751	-0.8479	0.199199
53	-0.010239	-0.1049	0.458321
54	0.049062	0.5027	0.308101
55	-0.019413	-0.1989	0.421353
56	-0.094167	-0.9649	0.1684
57	-0.045286	-0.464	0.32179
58	-0.078412	-0.8035	0.211756
59	0.011524	0.1181	0.453111
60	0.119795	1.2275	0.111184

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.374375	3.8362	0.000107
2	-0.292879	-3.0011	0.00168
3	-0.279276	-2.8617	0.002543
4	-0.192025	-1.9677	0.025872
5	0.060297	0.6179	0.269001
6	0.077219	0.7913	0.215287
7	-0.211115	-2.1633	0.016394
8	-0.170819	-1.7504	0.041487
9	0.006675	0.0684	0.472799
10	-0.045534	-0.4666	0.320882
11	0.116907	1.1979	0.116819
12	0.38591	3.9544	7e-05
13	-0.275141	-2.8194	0.002876
14	0.268029	2.7465	0.003545
15	0.12566	1.2876	0.100352
16	0.123241	1.2628	0.10472
17	-0.047453	-0.4863	0.3139
18	0.03606	0.3695	0.356249
19	-0.040777	-0.4178	0.33846
20	-0.086849	-0.8899	0.187768
21	-0.106313	-1.0894	0.139239
22	0.006354	0.0651	0.474105
23	-0.072986	-0.7479	0.228101
24	-0.007127	-0.073	0.470961
25	-0.100442	-1.0292	0.152871
26	-0.030789	-0.3155	0.376508
27	0.030878	0.3164	0.376161
28	-0.010429	-0.1069	0.457549
29	-0.037854	-0.3879	0.349442
30	-0.129642	-1.3284	0.093456
31	0.104536	1.0712	0.143273
32	-0.034272	-0.3512	0.363077
33	0.091533	0.9379	0.175214
34	-0.040985	-0.42	0.337681
35	-0.024384	-0.2499	0.401593
36	0.067146	0.688	0.246471
37	-0.114487	-1.1731	0.121697
38	0.026585	0.2724	0.392918
39	0.031414	0.3219	0.374086
40	0.09171	0.9397	0.174752
41	0.094029	0.9635	0.168753
42	-0.021074	-0.2159	0.414723
43	-0.05175	-0.5303	0.298518
44	-0.154156	-1.5796	0.0586
45	-0.07047	-0.7221	0.235919
46	-0.094058	-0.9638	0.168678
47	0.015042	0.1541	0.438901
48	0.034662	0.3552	0.361585
49	0.034455	0.3531	0.362377
50	-0.143513	-1.4706	0.072199
51	0.078637	0.8058	0.211093
52	-0.091798	-0.9406	0.174523
53	-0.047677	-0.4885	0.31309
54	-0.060254	-0.6174	0.269148
55	0.014824	0.1519	0.439777
56	0.122696	1.2573	0.105725
57	-0.009806	-0.1005	0.460077
58	-0.030218	-0.3096	0.378722
59	-0.074847	-0.767	0.222414
60	0.005356	0.0549	0.478168

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229871757ojkiup03tpz9l2d/135591229871667.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229871757ojkiup03tpz9l2d/135591229871667.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229871757ojkiup03tpz9l2d/2jm9b1229871667.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229871757ojkiup03tpz9l2d/2jm9b1229871667.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; 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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