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ACF Energie

*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 09:40:39 -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/t1229877761qaglnen019lszf7.htm/, Retrieved Sun, 21 Dec 2008 17:42:41 +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/t1229877761qaglnen019lszf7.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 «

95,1 95,9 95,9 96,9 95,7 97,8 95,9 98,2 101,2 106,8 108,2 108,2 113,2 115,2 122 119,8 119,8 112,7 113,8 118,6 119,2 118,1 121,6 125,3 126,5 133,6 136,5 131,9 131,9 139,3 139,9 140,1 142,1 141,8 143,5 143,6 140,6 137,4 133,9 134,6 134,6 132,1 132,5 134,1 135,1 136,4 136,6 138,1 138,4 141 144,9 153,4 156,5 160,7 163,9 166,7 169,7 174,3 181,8 187,8 182,4

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.124119	0.9614	0.170099
2	0.015548	0.1204	0.45227
3	-0.038488	-0.2981	0.383319
4	0.145566	1.1275	0.132
5	0.008111	0.0628	0.475057
6	0.059998	0.4647	0.321899
7	0.024636	0.1908	0.424652
8	-0.395423	-3.0629	0.00164
9	-0.07976	-0.6178	0.269517
10	0.080784	0.6257	0.266927
11	0.172757	1.3382	0.092945
12	-0.207198	-1.6049	0.056878
13	-0.072447	-0.5612	0.288384
14	-0.057288	-0.4437	0.32941
15	-0.03996	-0.3095	0.378997
16	-0.00508	-0.0393	0.484371
17	-0.00315	-0.0244	0.490307
18	-0.111052	-0.8602	0.19655
19	-0.104782	-0.8116	0.210104
20	0.101316	0.7848	0.217832
21	0.0709	0.5492	0.292457
22	-0.006528	-0.0506	0.479921
23	-0.082441	-0.6386	0.262761
24	-0.023136	-0.1792	0.429189
25	-0.00955	-0.074	0.470639
26	-0.014048	-0.1088	0.456855
27	-0.056483	-0.4375	0.331654
28	-0.073021	-0.5656	0.28688
29	-0.038611	-0.2991	0.382955
30	-0.031838	-0.2466	0.403023
31	-0.035107	-0.2719	0.393303
32	0.004878	0.0378	0.484993
33	0.022519	0.1744	0.431058
34	-0.076694	-0.5941	0.277349
35	-0.021486	-0.1664	0.434189
36	-0.024801	-0.1921	0.424152
37	0.029515	0.2286	0.40997
38	-0.003189	-0.0247	0.490187
39	0.075342	0.5836	0.28084
40	0.016904	0.1309	0.448132
41	-0.045815	-0.3549	0.361961
42	0.056621	0.4386	0.331269
43	0.106484	0.8248	0.20637
44	0.07958	0.6164	0.269972
45	0.046181	0.3577	0.360906
46	-0.001847	-0.0143	0.494318
47	-0.027346	-0.2118	0.416484
48	-0.026024	-0.2016	0.420464

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.124119	0.9614	0.170099
2	0.000145	0.0011	0.499555
3	-0.041068	-0.3181	0.375753
4	0.158056	1.2243	0.112814
5	-0.030681	-0.2377	0.406478
6	0.060039	0.4651	0.321786
7	0.025287	0.1959	0.422685
8	-0.448056	-3.4706	0.000484
9	0.061236	0.4743	0.318493
10	0.108894	0.8435	0.201153
11	0.108154	0.8378	0.202746
12	-0.138793	-1.0751	0.143321
13	-0.063305	-0.4904	0.312834
14	-0.000524	-0.0041	0.498386
15	-0.055388	-0.429	0.334717
16	-0.13495	-1.0453	0.150034
17	-0.028823	-0.2233	0.412046
18	-0.023137	-0.1792	0.429186
19	0.108556	0.8409	0.20188
20	-0.007375	-0.0571	0.477317
21	-0.033604	-0.2603	0.397763
22	-0.015749	-0.122	0.451656
23	-0.067077	-0.5196	0.302634
24	-0.088797	-0.6878	0.247108
25	-0.016166	-0.1252	0.450383
26	-0.076983	-0.5963	0.276606
27	-0.05189	-0.4019	0.34458
28	-0.005312	-0.0411	0.483658
29	0.02803	0.2171	0.414425
30	-0.079936	-0.6192	0.269069
31	-0.145748	-1.129	0.131704
32	-0.000647	-0.005	0.498009
33	0.063732	0.4937	0.311672
34	-0.1374	-1.0643	0.145729
35	-0.080145	-0.6208	0.26854
36	-0.079829	-0.6184	0.269341
37	0.096834	0.7501	0.228071
38	-0.001299	-0.0101	0.496001
39	-0.069502	-0.5384	0.29616
40	-0.0292	-0.2262	0.410913
41	-0.036328	-0.2814	0.389687
42	0.007446	0.0577	0.477099
43	0.003338	0.0259	0.48973
44	-0.036185	-0.2803	0.390111
45	0.136221	1.0552	0.14779
46	-0.092967	-0.7201	0.237124
47	-0.031096	-0.2409	0.405238
48	-0.082446	-0.6386	0.262748

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229877761qaglnen019lszf7/1rss31229877633.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229877761qaglnen019lszf7/1rss31229877633.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229877761qaglnen019lszf7/25rm51229877633.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229877761qaglnen019lszf7/25rm51229877633.ps (open in new window)

Parameters (Session):

par1 = 12 ; par2 = -0.8 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = 0 ; par7 = 1 ; par8 = 0 ; par9 = 0 ; par10 = FALSE ;

Parameters (R input):

par1 = 48 ; par2 = -0.8 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = 0 ; par7 = 1 ; par8 = 0 ; par9 = 0 ; par10 = FALSE ;

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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