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ACF productie

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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 17:34:11 -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/23/t1229992532ftk1isfwdmsc30v.htm/, Retrieved Tue, 23 Dec 2008 01:35:33 +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/23/t1229992532ftk1isfwdmsc30v.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 «

98.6 98 106.8 96.6 100.1 107.7 91.5 97.8 107.4 117.5 105.6 97.4 99.5 98 104.3 100.6 101.1 103.9 96.9 95.5 108.4 117 103.8 100.8 110.6 104 112.6 107.3 98.9 109.8 104.9 102.2 123.9 124.9 112.7 121.9 100.6 104.3 120.4 107.5 102.9 125.6 107.5 108.8 128.4 121.1 119.5 128.7 108.7 105.5 119.8 111.3 110.6 120.1 97.5 107.7 127.3 117.2 119.8 116.2

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	8 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.349572	2.7078	0.004406
2	0.152249	1.1793	0.121464
3	0.462404	3.5818	0.000342
4	0.075802	0.5872	0.27965
5	0.182658	1.4149	0.081139
6	0.487536	3.7764	0.000184
7	0.074519	0.5772	0.282974
8	0.125015	0.9684	0.168376
9	0.3404	2.6367	0.005321
10	0.033235	0.2574	0.398861
11	0.29272	2.2674	0.01349
12	0.586027	4.5393	1.4e-05
13	0.134	1.038	0.151728
14	0.112964	0.875	0.192526
15	0.200575	1.5536	0.062764
16	-0.093721	-0.726	0.235343
17	0.064269	0.4978	0.310213
18	0.149322	1.1566	0.126001
19	-0.117045	-0.9066	0.184115
20	-0.046254	-0.3583	0.360696
21	-0.01333	-0.1033	0.459052
22	-0.164819	-1.2767	0.103317
23	0.054582	0.4228	0.33698
24	0.152716	1.1829	0.120751
25	-0.046416	-0.3595	0.360229
26	-0.067842	-0.5255	0.300586
27	-0.12683	-0.9824	0.164919
28	-0.263166	-2.0385	0.022958
29	-0.170912	-1.3239	0.095282
30	-0.116341	-0.9012	0.18555
31	-0.210528	-1.6307	0.054092
32	-0.17431	-1.3502	0.091011
33	-0.172062	-1.3328	0.093821
34	-0.228223	-1.7678	0.041089
35	-0.123199	-0.9543	0.171881
36	-0.001634	-0.0127	0.494971
37	-0.126459	-0.9795	0.165622
38	-0.181516	-1.406	0.082438
39	-0.142871	-1.1067	0.136426
40	-0.239789	-1.8574	0.034082
41	-0.208492	-1.615	0.055782
42	-0.099801	-0.7731	0.221263
43	-0.162158	-1.2561	0.106979
44	-0.192769	-1.4932	0.070315
45	-0.162984	-1.2625	0.105833
46	-0.161309	-1.2495	0.108168
47	-0.089768	-0.6953	0.244762
48	0.016759	0.1298	0.448574
49	-0.059905	-0.464	0.322155
50	-0.101143	-0.7835	0.218222
51	-0.040508	-0.3138	0.377392
52	-0.101613	-0.7871	0.217163
53	-0.079944	-0.6192	0.26905
54	-0.021658	-0.1678	0.433667
55	-0.074983	-0.5808	0.281769
56	-0.072632	-0.5626	0.2879
57	-0.040675	-0.3151	0.376903
58	-0.035683	-0.2764	0.391596
59	-0.014033	-0.1087	0.456903
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.349572	2.7078	0.004406
2	0.034231	0.2652	0.3959
3	0.455122	3.5254	0.000408
4	-0.307873	-2.3848	0.010133
5	0.386298	2.9923	0.002008
6	0.120083	0.9302	0.178008
7	-0.106135	-0.8221	0.207133
8	0.072764	0.5636	0.287555
9	0.026944	0.2087	0.417692
10	0.014974	0.116	0.454025
11	0.302848	2.3459	0.011153
12	0.282364	2.1872	0.016319
13	-0.123195	-0.9543	0.17189
14	-0.163565	-1.267	0.105032
15	-0.200983	-1.5568	0.062388
16	-0.060435	-0.4681	0.320695
17	-0.155874	-1.2074	0.116009
18	-0.160931	-1.2466	0.108701
19	-0.003001	-0.0232	0.490766
20	-0.174999	-1.3555	0.090164
21	-0.060343	-0.4674	0.320948
22	-0.074778	-0.5792	0.282303
23	-0.019829	-0.1536	0.439221
24	-0.003138	-0.0243	0.490344
25	0.083148	0.6441	0.260995
26	-0.06655	-0.5155	0.304051
27	-0.044536	-0.345	0.365661
28	-0.100807	-0.7808	0.218982
29	-0.060462	-0.4683	0.32062
30	0.078949	0.6115	0.271576
31	0.02001	0.155	0.438673
32	0.151087	1.1703	0.123252
33	0.057927	0.4487	0.327632
34	0.036691	0.2842	0.388614
35	-0.040849	-0.3164	0.376393
36	0.110222	0.8538	0.198311
37	-0.145173	-1.1245	0.132639
38	0.028473	0.2206	0.413095
39	0.058165	0.4505	0.32697
40	0.038141	0.2954	0.384339
41	0.023445	0.1816	0.428253
42	-0.060222	-0.4665	0.321283
43	0.06752	0.523	0.301448
44	-0.181936	-1.4093	0.081959
45	-0.111739	-0.8655	0.195099
46	0.049296	0.3818	0.351963
47	-0.047931	-0.3713	0.355872
48	-0.039447	-0.3056	0.380502
49	-0.048428	-0.3751	0.354446
50	0.039175	0.3034	0.381299
51	-0.01836	-0.1422	0.443694
52	0.084809	0.6569	0.25687
53	0.045808	0.3548	0.361981
54	-0.043981	-0.3407	0.367269
55	-0.074311	-0.5756	0.283516
56	0.019864	0.1539	0.439116
57	0.007551	0.0585	0.476776
58	-0.006559	-0.0508	0.479824
59	-0.083083	-0.6436	0.261157
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1229992532ftk1isfwdmsc30v/1njum1229992442.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1229992532ftk1isfwdmsc30v/1njum1229992442.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1229992532ftk1isfwdmsc30v/268d41229992442.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1229992532ftk1isfwdmsc30v/268d41229992442.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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