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Paper acf 10

*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: Wed, 24 Dec 2008 06:09:59 -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/24/t1230124317bporauon10hk269.htm/, Retrieved Wed, 24 Dec 2008 14:11:57 +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/24/t1230124317bporauon10hk269.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 «

101.76 101.76 101.76 101.76 101.76 101.76 101.76 101.76 101.76 103.36 103.36 103.36 104.85 104.85 104.85 104.85 104.85 104.85 104.85 104.85 104.85 107.35 107.35 107.35 107.35 107.35 107.35 107.35 107.35 107.35 107.35 107.35 107.35 109.47 109.47 109.47 109.47 109.47 109.47 109.47 109.47 109.47 109.47 109.47 109.47 111.29 111.29

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.119631	-0.8114	0.210663
2	-0.099816	-0.677	0.250903
3	0.039017	0.2646	0.39624
4	-0.104907	-0.7115	0.24018
5	-0.107452	-0.7288	0.234916
6	-0.109998	-0.746	0.22972
7	-0.112543	-0.7633	0.22459
8	-0.115088	-0.7806	0.219528
9	0.122928	0.8337	0.204368
10	-0.100521	-0.6818	0.249402
11	-0.103067	-0.699	0.244026
12	0.693028	4.7003	1.2e-05
13	-0.089851	-0.6094	0.272629
14	-0.06635	-0.45	0.327409
15	-0.068895	-0.4673	0.321256
16	-0.071441	-0.4845	0.315153
17	-0.073986	-0.5018	0.309102
18	-0.076531	-0.5191	0.303103
19	-0.079077	-0.5363	0.297159
20	-0.081622	-0.5536	0.291271
21	0.133874	0.908	0.184311
22	-0.055998	-0.3798	0.352923
23	-0.058543	-0.3971	0.34658
24	0.409897	2.7801	0.003924
25	-0.063634	-0.4316	0.33403
26	-0.035464	-0.2405	0.405495
27	-0.038009	-0.2578	0.398859
28	-0.040555	-0.2751	0.392253
29	-0.0431	-0.2923	0.385679
30	-0.045645	-0.3096	0.379139
31	-0.048191	-0.3268	0.372634
32	-0.050736	-0.3441	0.366166
33	0.133583	0.906	0.184827
34	-0.02978	-0.202	0.420412
35	-0.014019	-0.0951	0.46233
36	0.156126	1.0589	0.147588

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.119631	-0.8114	0.210663
2	-0.115785	-0.7853	0.218154
3	0.012177	0.0826	0.467269
4	-0.112814	-0.7651	0.224048
5	-0.135397	-0.9183	0.181625
6	-0.177741	-1.2055	0.117087
7	-0.198648	-1.3473	0.092242
8	-0.248754	-1.6871	0.049174
9	-0.038109	-0.2585	0.398601
10	-0.245625	-1.6659	0.051264
11	-0.340598	-2.31	0.012712
12	0.559846	3.7971	0.000214
13	-0.021372	-0.145	0.442691
14	-0.015857	-0.1075	0.457411
15	-0.187117	-1.2691	0.105396
16	-0.060025	-0.4071	0.342909
17	-0.044677	-0.303	0.381624
18	-0.055652	-0.3774	0.353788
19	-0.027913	-0.1893	0.425338
20	-0.018637	-0.1264	0.449982
21	-0.112173	-0.7608	0.225331
22	-0.021652	-0.1468	0.441947
23	-0.029317	-0.1988	0.421634
24	-0.166151	-1.1269	0.132817
25	-0.116198	-0.7881	0.217343
26	-0.11334	-0.7687	0.222997
27	0.077733	0.5272	0.30029
28	-0.039321	-0.2667	0.395451
29	-0.043459	-0.2948	0.384755
30	-0.08654	-0.5869	0.280055
31	-0.070501	-0.4782	0.3174
32	-0.064986	-0.4408	0.330727
33	-0.00074	-0.005	0.498009
34	-0.036989	-0.2509	0.401516
35	0.008871	0.0602	0.476141
36	-0.230674	-1.5645	0.062277

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124317bporauon10hk269/1a6301230124194.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124317bporauon10hk269/1a6301230124194.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124317bporauon10hk269/24ag21230124194.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/24/t1230124317bporauon10hk269/24ag21230124194.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; 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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