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Rev3WS8-ACF

*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: Fri, 04 Dec 2009 03:28:07 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/04/t1259922535tqxz3ohmqfvmcd3.htm/, Retrieved Fri, 04 Dec 2009 11:28:57 +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/2009/Dec/04/t1259922535tqxz3ohmqfvmcd3.htm/},
    year = {2009},
}
@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 = {2009},
    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 «

153.4 145 137.7 148.3 152.2 169.4 168.6 161.1 174.1 179 190.6 190 181.6 174.8 180.5 196.8 193.8 197 216.3 221.4 217.9 229.7 227.4 204.2 196.6 198.8 207.5 190.7 201.6 210.5 223.5 223.8 231.2 244 234.7 250.2 265.7 287.6 283.3 295.4 312.3 333.8 347.7 383.2 407.1 413.6 362.7 321.9 239.4 191 159.7 163.4 157.6 166.2 176.7 198.3 226.2 216.2 235.9 226.9

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.569329	4.3731	2.5e-05
2	0.414428	3.1833	0.001162
3	0.099427	0.7637	0.224042
4	-0.03203	-0.246	0.403259
5	-0.275147	-2.1134	0.019401
6	-0.318742	-2.4483	0.008673
7	-0.256626	-1.9712	0.0267
8	-0.260743	-2.0028	0.0249
9	-0.22353	-1.717	0.045615
10	-0.120731	-0.9273	0.178762
11	0.024376	0.1872	0.42606
12	-0.041625	-0.3197	0.375151
13	-0.052002	-0.3994	0.345509
14	0.004046	0.0311	0.487656
15	0.033798	0.2596	0.398036
16	-0.061941	-0.4758	0.317995
17	-0.087507	-0.6722	0.252054
18	-0.06217	-0.4775	0.317373
19	-0.022501	-0.1728	0.431686
20	-0.081297	-0.6245	0.267369
21	0.047056	0.3614	0.35953
22	0.050859	0.3907	0.34873
23	0.125828	0.9665	0.168869
24	0.057758	0.4436	0.32946
25	0.172197	1.3227	0.095524
26	0.120437	0.9251	0.179343
27	0.030915	0.2375	0.406559
28	-0.031623	-0.2429	0.404463
29	-0.061282	-0.4707	0.319788
30	-0.048838	-0.3751	0.354453
31	-0.121861	-0.936	0.176536
32	-0.044792	-0.3441	0.366016
33	-0.042694	-0.3279	0.372058
34	0.013648	0.1048	0.458431
35	0.032449	0.2492	0.402018
36	0.047878	0.3678	0.357184

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.569329	4.3731	2.5e-05
2	0.133595	1.0262	0.154501
3	-0.272759	-2.0951	0.020232
4	-0.065968	-0.5067	0.307125
5	-0.246935	-1.8967	0.03138
6	-0.074798	-0.5745	0.283895
7	0.131721	1.0118	0.15789
8	-0.171485	-1.3172	0.096432
9	-0.114484	-0.8794	0.191385
10	0.065333	0.5018	0.308827
11	0.064229	0.4934	0.311797
12	-0.223344	-1.7155	0.045747
13	-0.129958	-0.9982	0.161124
14	0.101996	0.7834	0.218248
15	0.010298	0.0791	0.468612
16	-0.18792	-1.4434	0.077092
17	-0.126049	-0.9682	0.168448
18	-0.02276	-0.1748	0.430909
19	0.104513	0.8028	0.212662
20	-0.133259	-1.0236	0.155105
21	0.006405	0.0492	0.480463
22	-0.087785	-0.6743	0.25138
23	0.130738	1.0042	0.159687
24	-0.024595	-0.1889	0.425402
25	-0.019081	-0.1466	0.441987
26	-0.054248	-0.4167	0.339211
27	-0.064139	-0.4927	0.31204
28	0.042208	0.3242	0.373466
29	-0.07806	-0.5996	0.275536
30	-0.003419	-0.0263	0.489567
31	-0.004388	-0.0337	0.486612
32	0.019017	0.1461	0.442183
33	-0.036879	-0.2833	0.388981
34	-0.004202	-0.0323	0.487179
35	0.096037	0.7377	0.231819
36	-0.129967	-0.9983	0.161106

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259922535tqxz3ohmqfvmcd3/1y7iv1259922485.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259922535tqxz3ohmqfvmcd3/1y7iv1259922485.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259922535tqxz3ohmqfvmcd3/2wiqx1259922485.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259922535tqxz3ohmqfvmcd3/2wiqx1259922485.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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