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ACF 2

*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 12:26:19 -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/t1259954888c3d4vbxa8uj4d9v.htm/, Retrieved Fri, 04 Dec 2009 20:28:11 +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/t1259954888c3d4vbxa8uj4d9v.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 «

96.2 96.8 109.9 88 91.1 106.4 68.6 100.1 108 106 108.6 91.5 99.2 98 96.6 102.8 96.9 110 70.5 101.9 109.6 107.8 113 93.8 108 102.8 116.3 89.2 106.7 112.1 74.2 108.8 111.5 118.8 118.9 97.6 116.4 107.9 121.2 97.9 113.4 117.6 79.6 115.9 115.7 129.1 123.3 96.7 121.2 118.2 102.1 125.4 116.7 121.3 85.3 114.2 124.4 131 118.3 99.6

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	-0.471296	-3.2652	0.001011
2	0.101136	0.7007	0.24344
3	0.061477	0.4259	0.336034
4	-0.126845	-0.8788	0.191941
5	0.079661	0.5519	0.291786
6	-0.026899	-0.1864	0.426474
7	-0.025534	-0.1769	0.430163
8	0.082479	0.5714	0.285187
9	0.056048	0.3883	0.349752
10	-0.014471	-0.1003	0.460278
11	0.051905	0.3596	0.360358
12	-0.176713	-1.2243	0.113406
13	0.124594	0.8632	0.196157
14	-0.064443	-0.4465	0.328631
15	0.048888	0.3387	0.368155
16	-0.036745	-0.2546	0.400069
17	-0.052618	-0.3645	0.358525
18	0.076343	0.5289	0.29965
19	-0.099453	-0.689	0.24706
20	0.02786	0.193	0.423878
21	0.020222	0.1401	0.444582
22	-0.181911	-1.2603	0.106823
23	0.25216	1.747	0.043515
24	-0.307352	-2.1294	0.019189
25	0.090977	0.6303	0.26574
26	-0.038277	-0.2652	0.395999
27	0.011062	0.0766	0.469613
28	0.038941	0.2698	0.394238
29	-0.061081	-0.4232	0.337026
30	0.046464	0.3219	0.374459
31	-0.008876	-0.0615	0.47561
32	-0.069289	-0.4801	0.316686
33	0.016879	0.1169	0.453697
34	-0.00413	-0.0286	0.488646
35	-0.120335	-0.8337	0.204288
36	0.264094	1.8297	0.036755
37	-0.128442	-0.8899	0.188986
38	0.003241	0.0225	0.491089
39	0.018032	0.1249	0.450552
40	-0.036225	-0.251	0.401453
41	0.057059	0.3953	0.34718
42	-0.039049	-0.2705	0.393952
43	-0.024845	-0.1721	0.43203
44	0.058872	0.4079	0.342588
45	0.020574	0.1425	0.443624
46	0.005328	0.0369	0.485354
47	0.000536	0.0037	0.498527
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	-0.471296	-3.2652	0.001011
2	-0.155531	-1.0776	0.14331
3	0.056983	0.3948	0.347374
4	-0.071984	-0.4987	0.310127
5	-0.020405	-0.1414	0.444086
6	-0.004674	-0.0324	0.48715
7	-0.029243	-0.2026	0.420152
8	0.057973	0.4016	0.344863
9	0.170257	1.1796	0.121991
10	0.121363	0.8408	0.202306
11	0.105254	0.7292	0.234706
12	-0.154312	-1.0691	0.145185
13	-0.037584	-0.2604	0.397839
14	-0.026901	-0.1864	0.426467
15	0.060699	0.4205	0.337985
16	-0.041117	-0.2849	0.388486
17	-0.139819	-0.9687	0.168776
18	-0.06646	-0.4604	0.323638
19	-0.113434	-0.7859	0.217896
20	-0.047912	-0.3319	0.370687
21	0.05499	0.381	0.352448
22	-0.188404	-1.3053	0.099006
23	0.087473	0.606	0.273675
24	-0.258156	-1.7886	0.039999
25	-0.136169	-0.9434	0.175098
26	-0.143238	-0.9924	0.162994
27	0.062963	0.4362	0.332316
28	0.055643	0.3855	0.350784
29	-0.052659	-0.3648	0.35842
30	0.022993	0.1593	0.437051
31	0.030001	0.2079	0.418111
32	-0.029552	-0.2047	0.41932
33	0.057933	0.4014	0.344964
34	-0.008487	-0.0588	0.476677
35	-0.087869	-0.6088	0.272772
36	0.049362	0.342	0.366925
37	0.096001	0.6651	0.25458
38	-0.062334	-0.4319	0.333886
39	-0.054973	-0.3809	0.352493
40	-0.027654	-0.1916	0.424436
41	-0.032418	-0.2246	0.411624
42	-0.007997	-0.0554	0.478024
43	-0.093287	-0.6463	0.260578
44	-0.086195	-0.5972	0.276599
45	0.00954	0.0661	0.473788
46	-0.094704	-0.6561	0.257437
47	0.022007	0.1525	0.439729
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://www.freestatistics.org/blog/date/2009/Dec/04/t1259954888c3d4vbxa8uj4d9v/1jn3s1259954778.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259954888c3d4vbxa8uj4d9v/1jn3s1259954778.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259954888c3d4vbxa8uj4d9v/23pa31259954778.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/04/t1259954888c3d4vbxa8uj4d9v/23pa31259954778.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 0.1 ; par3 = 0 ; par4 = 1 ; 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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