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ACF Azië

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 22 Dec 2008 02:49:30 -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/22/t1229939475zc2ykzrvbr5i73h.htm/, Retrieved Mon, 22 Dec 2008 10:51:15 +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/22/t1229939475zc2ykzrvbr5i73h.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 «

1025,5 691,2 971,6 926 997,1 964,9 860 948 951,4 827,3 994 944,5 976,2 668,8 939,9 1096,1 977,7 1096,9 1060,8 1121,4 1190,9 1177,9 1108,1 1045,6 1263,9 911 1175,9 1091,3 1027,7 1081,7 879,7 955,5 1037,9 959,9 931,8 1062,2 1077,2 668,4 954,3 797,2 829,2 957,3 844,2 893,6 1132 898,8 1064 1279,7 1382,5 824,1 1304,1 1253,5 1136,3 1414,7 1293,2 1325,7 1463,8 1244,2 1573,6 1327,3 1418,5 1042,2 1384,8 1474,8 1556,5 1466,2 1221,7 1279,7 1348,4 1189,8 1296,6 1417,6 1513,9 1006,1 1202,8 1258,8 1211,5 1283,3 1332,3 1374,3 1406,1 1419,1 1554,4 1499,8 1609,6 1033,9 1550,5 1491,4 1368,9 1537,1 1492,3 1504,1 1301,2 1344,2 1319,1 1420,3 1582,9 1002,6 1559,1 1462,7 1414,8 1537,5 1455,9 1619,9 1667,2 1488,9 1442,5 1779,6 1801,9 1233,4 1581,1 1515 1439,2 1585,8 1488,8 1601,3 1646,8 1630,2 1720,7 2013,5 2051,2 1404,7 2015,9 1544,1 1816,6 1773,4 1577,4 1709,8 1810,2 1520,5 1798,6 1666,8 1730,4 1147,8 1777 1700 1907,4 1745,8 1771,6 1790,2 1958,7 1560,4 1752,1 2011,6 2082,8 1616,4 1846,1 1824,9 1711,3 1805 1737,6 1939,6 1711,4 1964,8 1864,4 1980,7 2226,7 1433,3 1960,7

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	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	0.747823	9.4297	0
2	0.779819	9.8331	0
3	0.765862	9.6572	0
4	0.736371	9.2853	0
5	0.71638	9.0332	0
6	0.684521	8.6315	0
7	0.674496	8.5051	0
8	0.658207	8.2997	0
9	0.641294	8.0864	0
10	0.593747	7.4869	0
11	0.546338	6.8891	0
12	0.685504	8.6439	0
13	0.503996	6.3551	0
14	0.529118	6.6719	0
15	0.529415	6.6757	0
16	0.517566	6.5263	0
17	0.504408	6.3603	0
18	0.489289	6.1697	0
19	0.477015	6.0149	0
20	0.467877	5.8997	0
21	0.460182	5.8027	0
22	0.423002	5.3339	0
23	0.387298	4.8836	1e-06
24	0.524194	6.6098	0
25	0.371345	4.6825	3e-06
26	0.417847	5.2688	0
27	0.410886	5.1811	0
28	0.408367	5.1493	0
29	0.399854	5.042	1e-06
30	0.369814	4.6632	3e-06
31	0.385417	4.8599	1e-06
32	0.364846	4.6005	4e-06
33	0.356137	4.4907	7e-06
34	0.322358	4.0648	3.8e-05
35	0.27899	3.5179	0.000284
36	0.413802	5.2178	0
37	0.248636	3.1352	0.001023
38	0.263263	3.3196	0.000559
39	0.235603	2.9708	0.001716
40	0.212547	2.6801	0.004067
41	0.170646	2.1518	0.016463
42	0.139067	1.7536	0.040716
43	0.140081	1.7664	0.039627
44	0.108313	1.3658	0.086969
45	0.104024	1.3117	0.095757
46	0.066412	0.8374	0.201807
47	0.035571	0.4485	0.327192
48	0.145148	1.8302	0.034543
49	0.022713	0.2864	0.38747
50	0.037022	0.4668	0.320632
51	0.028953	0.3651	0.357769
52	0.024685	0.3113	0.378005
53	0.013459	0.1697	0.432727
54	0.010349	0.1305	0.448172
55	0.014236	0.1795	0.428881
56	-0.004559	-0.0575	0.477117
57	0.003914	0.0494	0.480351
58	-0.033393	-0.4211	0.337135
59	-0.058602	-0.7389	0.230516
60	0.051791	0.6531	0.257331

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.747823	9.4297	0
2	0.500452	6.3105	0
3	0.303575	3.8279	9.3e-05
4	0.125944	1.5881	0.057126
5	0.044311	0.5587	0.288562
6	-0.02595	-0.3272	0.371968
7	0.012901	0.1627	0.43549
8	0.032925	0.4152	0.339288
9	0.029567	0.3728	0.354887
10	-0.091788	-1.1574	0.124422
11	-0.173422	-2.1868	0.01511
12	0.469206	5.9165	0
13	-0.281362	-3.5478	0.000255
14	-0.146669	-1.8494	0.033127
15	0.079374	1.0009	0.159205
16	0.118523	1.4945	0.068511
17	0.015705	0.198	0.421638
18	0.027981	0.3528	0.362341
19	-0.02971	-0.3746	0.354218
20	-0.050862	-0.6413	0.261112
21	-0.004701	-0.0593	0.476401
22	0.039621	0.4996	0.309023
23	-0.05174	-0.6524	0.257537
24	0.205663	2.5933	0.005196
25	-0.075929	-0.9574	0.169903
26	0.01999	0.2521	0.400657
27	-0.020755	-0.2617	0.396944
28	0.020132	0.2539	0.399969
29	0.003436	0.0433	0.482749
30	-0.104245	-1.3145	0.09529
31	0.087773	1.1068	0.135033
32	-0.040334	-0.5086	0.305872
33	-0.093989	-1.1852	0.118862
34	0.002261	0.0285	0.488646
35	-0.05065	-0.6387	0.261977
36	0.170148	2.1455	0.016716
37	-0.136833	-1.7254	0.0432
38	-0.207198	-2.6127	0.004923
39	-0.099588	-1.2558	0.105523
40	-0.046021	-0.5803	0.281268
41	-0.101278	-1.2771	0.10172
42	-0.002216	-0.0279	0.48887
43	0.029376	0.3704	0.35578
44	-0.04129	-0.5207	0.301667
45	0.052092	0.6569	0.256111
46	0.092929	1.1718	0.121516
47	0.060139	0.7583	0.224688
48	-0.005534	-0.0698	0.472227
49	0.062098	0.783	0.217389
50	-0.043549	-0.5491	0.291841
51	-0.054033	-0.6813	0.248327
52	-0.04714	-0.5944	0.27654
53	0.065749	0.8291	0.204156
54	0.059464	0.7498	0.227239
55	-0.06029	-0.7602	0.224123
56	-0.004624	-0.0583	0.476789
57	0.005926	0.0747	0.470262
58	-0.025271	-0.3187	0.375202
59	0.024208	0.3052	0.380288
60	0.034751	0.4382	0.330922

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229939475zc2ykzrvbr5i73h/17xre1229939365.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229939475zc2ykzrvbr5i73h/17xre1229939365.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229939475zc2ykzrvbr5i73h/23jj21229939365.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/22/t1229939475zc2ykzrvbr5i73h/23jj21229939365.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')

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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