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ws9 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 11:53:32 -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/t12599528622ct11amtp0zayoq.htm/, Retrieved Fri, 04 Dec 2009 19:54:25 +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/t12599528622ct11amtp0zayoq.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 «

2.05 2.11 2.09 2.05 2.08 2.06 2.06 2.08 2.07 2.06 2.07 2.06 2.09 2.07 2.09 2.28 2.33 2.35 2.52 2.63 2.58 2.70 2.81 2.97 3.04 3.28 3.33 3.50 3.56 3.57 3.69 3.82 3.79 3.96 4.06 4.05 4.03 3.94 4.02 3.88 4.02 4.03 4.09 3.99 4.01 4.01 4.19 4.30 4.27 3.82 3.15 2.49 1.81 1.26 1.06 0.84 0.78 0.70 0.36 0.35

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	-0.190365	-1.4498	0.076254
2	0.19336	1.4726	0.073134
3	-0.260825	-1.9864	0.025862
4	-0.046663	-0.3554	0.3618
5	-0.318593	-2.4263	0.009191
6	0.143812	1.0952	0.13897
7	-0.015283	-0.1164	0.453872
8	0.103985	0.7919	0.215815
9	-0.073431	-0.5592	0.289079
10	-0.040977	-0.3121	0.378052
11	-0.028543	-0.2174	0.414338
12	-0.076644	-0.5837	0.280843
13	0.19066	1.452	0.075941
14	-0.122566	-0.9334	0.177234
15	0.216974	1.6524	0.051926
16	-0.145044	-1.1046	0.136942
17	0.054983	0.4187	0.338476
18	-0.123459	-0.9402	0.175498
19	0.092329	0.7032	0.242386
20	-0.133472	-1.0165	0.156808
21	0.147056	1.1199	0.133677
22	-0.111036	-0.8456	0.200619
23	0.146982	1.1194	0.133796
24	-0.083177	-0.6335	0.264463
25	-0.034571	-0.2633	0.396632
26	0.026476	0.2016	0.420454
27	-0.040648	-0.3096	0.379001
28	-0.07993	-0.6087	0.272541
29	0.092065	0.7011	0.243007
30	0.017797	0.1355	0.446329
31	-0.032281	-0.2458	0.403335
32	0.035629	0.2713	0.393546
33	0.010385	0.0791	0.468617
34	-0.02336	-0.1779	0.42971
35	-0.054258	-0.4132	0.340486
36	0.040246	0.3065	0.380159
37	-0.026162	-0.1992	0.421384
38	0.01843	0.1404	0.444431
39	0.014124	0.1076	0.457355
40	-0.007229	-0.0551	0.478141
41	0.025115	0.1913	0.42449
42	0.010591	0.0807	0.467997
43	-0.030678	-0.2336	0.408046
44	0.009739	0.0742	0.470566
45	-0.007954	-0.0606	0.475953
46	-0.001324	-0.0101	0.495995
47	0.039584	0.3015	0.382071
48	0.006159	0.0469	0.481374
49	-0.003059	-0.0233	0.490746
50	0.005959	0.0454	0.481979
51	-0.017651	-0.1344	0.446765
52	-0.008304	-0.0632	0.474897
53	0.002102	0.016	0.493641
54	-0.009968	-0.0759	0.469875
55	0.005577	0.0425	0.483133
56	0.00234	0.0178	0.492922
57	-0.005007	-0.0381	0.484856
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	-0.190365	-1.4498	0.076254
2	0.16303	1.2416	0.109691
3	-0.212101	-1.6153	0.055835
4	-0.161357	-1.2289	0.112044
5	-0.312482	-2.3798	0.010316
6	0.017397	0.1325	0.447526
7	0.049612	0.3778	0.353466
8	-0.069602	-0.5301	0.299041
9	-0.152016	-1.1577	0.125862
10	-0.186091	-1.4172	0.080883
11	0.014065	0.1071	0.457535
12	-0.103031	-0.7847	0.217923
13	0.118804	0.9048	0.184662
14	-0.194133	-1.4785	0.072346
15	0.062637	0.477	0.317568
16	-0.030745	-0.2341	0.407848
17	-0.056799	-0.4326	0.333467
18	0.009215	0.0702	0.472147
19	-0.050315	-0.3832	0.351492
20	-0.051754	-0.3941	0.347459
21	-0.002982	-0.0227	0.490979
22	-0.054934	-0.4184	0.338613
23	0.066664	0.5077	0.306794
24	-0.005235	-0.0399	0.484168
25	-0.149147	-1.1359	0.130342
26	0.032094	0.2444	0.403883
27	-0.01026	-0.0781	0.468995
28	-0.187184	-1.4255	0.079679
29	0.074862	0.5701	0.285395
30	-0.043442	-0.3308	0.370977
31	-0.082438	-0.6278	0.266291
32	-0.028498	-0.217	0.414471
33	0.006888	0.0525	0.479173
34	-0.061668	-0.4697	0.320182
35	-0.052122	-0.397	0.34643
36	-0.096815	-0.7373	0.23195
37	-0.024047	-0.1831	0.427663
38	-0.013131	-0.1	0.460345
39	-0.085181	-0.6487	0.259539
40	-0.034619	-0.2637	0.396491
41	0.009973	0.076	0.469859
42	-0.062096	-0.4729	0.319026
43	0.003519	0.0268	0.489355
44	-0.082037	-0.6248	0.267284
45	-0.06111	-0.4654	0.321693
46	0.015381	0.1171	0.453577
47	0.00587	0.0447	0.482249
48	-0.027787	-0.2116	0.416574
49	-0.028512	-0.2171	0.414429
50	-0.020004	-0.1523	0.439722
51	0.040407	0.3077	0.379695
52	-0.034739	-0.2646	0.396142
53	-0.042562	-0.3241	0.373499
54	-0.004811	-0.0366	0.485449
55	-0.024237	-0.1846	0.427101
56	-0.048444	-0.3689	0.356757
57	0.03425	0.2608	0.397571
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599528622ct11amtp0zayoq/18sor1259952810.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599528622ct11amtp0zayoq/18sor1259952810.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599528622ct11amtp0zayoq/2gs961259952810.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t12599528622ct11amtp0zayoq/2gs961259952810.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1.7 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1.7 ; par3 = 2 ; 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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