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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 17:38:36 -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/t12299927509rwz2yr0t7dqwdd.htm/, Retrieved Tue, 23 Dec 2008 01:39:10 +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/t12299927509rwz2yr0t7dqwdd.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	4 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.173416	1.2015	0.117734
2	0.113646	0.7874	0.217471
3	0.337638	2.3392	0.011767
4	-0.037148	-0.2574	0.398998
5	0.1279	0.8861	0.189987
6	0.25846	1.7907	0.039827
7	-0.112313	-0.7781	0.220156
8	0.196452	1.3611	0.089926
9	0.223151	1.546	0.064332
10	-0.150604	-1.0434	0.150992
11	0.022831	0.1582	0.437491
12	-0.16127	-1.1173	0.134711
13	-0.244235	-1.6921	0.048554
14	0.108932	0.7547	0.227057
15	-0.094023	-0.6514	0.258945
16	-0.134039	-0.9287	0.178858
17	0.203574	1.4104	0.082435
18	-0.209045	-1.4483	0.077016
19	-0.17308	-1.1991	0.118181
20	-0.038313	-0.2654	0.395904
21	-0.224526	-1.5556	0.063191
22	-0.127111	-0.8806	0.191448
23	0.028484	0.1973	0.422197
24	-0.295514	-2.0474	0.023058
25	-0.127955	-0.8865	0.189884
26	-0.079941	-0.5539	0.291126
27	-0.222635	-1.5425	0.064764
28	-0.067416	-0.4671	0.321282
29	-0.12999	-0.9006	0.18615
30	-0.131311	-0.9098	0.18375
31	-0.000516	-0.0036	0.49858
32	-0.031866	-0.2208	0.413101
33	-0.041424	-0.287	0.387676
34	-0.005687	-0.0394	0.484368
35	-0.041636	-0.2885	0.387118
36	0.040705	0.282	0.389573
37	0.108596	0.7524	0.227749
38	0.049646	0.344	0.366191
39	0.036024	0.2496	0.401988
40	0.101687	0.7045	0.24226
41	0.029861	0.2069	0.418489
42	0.078262	0.5422	0.295089
43	0.040269	0.279	0.390726
44	0.011439	0.0792	0.468582
45	0.051297	0.3554	0.361924
46	0.024364	0.1688	0.433333
47	0.014965	0.1037	0.458927
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.173416	1.2015	0.117734
2	0.086164	0.597	0.276669
3	0.316483	2.1927	0.016606
4	-0.162095	-1.123	0.133506
5	0.130731	0.9057	0.184802
6	0.143035	0.991	0.163333
7	-0.155552	-1.0777	0.143277
8	0.180769	1.2524	0.108245
9	0.089676	0.6213	0.268674
10	-0.158151	-1.0957	0.139338
11	-0.117073	-0.8111	0.210655
12	-0.251947	-1.7455	0.043645
13	-0.05884	-0.4077	0.342669
14	0.104107	0.7213	0.23712
15	-0.011241	-0.0779	0.469124
16	0.012649	0.0876	0.465267
17	0.173665	1.2032	0.117403
18	-0.189911	-1.3157	0.097255
19	-0.087649	-0.6073	0.273273
20	-0.09821	-0.6804	0.249755
21	0.096439	0.6682	0.253619
22	-0.128811	-0.8924	0.188308
23	-0.030605	-0.212	0.416487
24	-0.22009	-1.5248	0.066933
25	-0.154984	-1.0738	0.14415
26	-0.08181	-0.5668	0.286747
27	0.115219	0.7983	0.214326
28	0.062463	0.4328	0.333566
29	0.016773	0.1162	0.453987
30	0.027997	0.194	0.423509
31	-0.166985	-1.1569	0.126517
32	0.037548	0.2601	0.397935
33	0.109559	0.759	0.225768
34	-0.077248	-0.5352	0.297495
35	0.054171	0.3753	0.354543
36	-0.072001	-0.4988	0.310087
37	-0.020041	-0.1388	0.445075
38	-0.05053	-0.3501	0.363903
39	0.016916	0.1172	0.453596
40	0.066031	0.4575	0.324696
41	0.060526	0.4193	0.338421
42	-0.004491	-0.0311	0.487653
43	-0.110121	-0.7629	0.224615
44	-0.138577	-0.9601	0.17091
45	-0.001297	-0.009	0.496433
46	-0.073492	-0.5092	0.306485
47	-0.000109	-8e-04	0.499699
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12299927509rwz2yr0t7dqwdd/1wai21229992709.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12299927509rwz2yr0t7dqwdd/1wai21229992709.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12299927509rwz2yr0t7dqwdd/2cqkp1229992709.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t12299927509rwz2yr0t7dqwdd/2cqkp1229992709.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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