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ACF Melk

*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: Mon, 14 Dec 2009 12:10:09 -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/14/t1260817856q3uy3rxypnvhi4y.htm/, Retrieved Mon, 14 Dec 2009 20:10:59 +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/14/t1260817856q3uy3rxypnvhi4y.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 «

0,71 0,7 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,7 0,7 0,68 0,68 0,69 0,69 0,7 0,7 0,7 0,7 0,7 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,71 0,76 0,77 0,78 0,85 0,89 0,9 0,91 0,91 0,91 0,9 0,89 0,88 0,87 0,86 0,87 0,87 0,87 0,85 0,84 0,84 0,84 0,84 0,84 0,82 0,87 0,92

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	0.946827	7.3341	0
2	0.894376	6.9278	0
3	0.856943	6.6379	0
4	0.800913	6.2038	0
5	0.740396	5.7351	0
6	0.678634	5.2567	1e-06
7	0.618617	4.7918	6e-06
8	0.564829	4.3751	2.5e-05
9	0.512332	3.9685	9.8e-05
10	0.456189	3.5336	0.000398
11	0.400545	3.1026	0.001462
12	0.344901	2.6716	0.004852
13	0.29544	2.2885	0.012824
14	0.246275	1.9076	0.030614
15	0.196112	1.5191	0.066997
16	0.145996	1.1309	0.131303
17	0.089355	0.6921	0.24576
18	0.030516	0.2364	0.406972
19	-0.025037	-0.1939	0.423441
20	-0.082085	-0.6358	0.263653
21	-0.135894	-1.0526	0.148366
22	-0.19548	-1.5142	0.067616
23	-0.247523	-1.9173	0.029982
24	-0.271728	-2.1048	0.019753
25	-0.297723	-2.3062	0.012287
26	-0.323967	-2.5094	0.007405
27	-0.330504	-2.5601	0.006501
28	-0.336792	-2.6088	0.005726
29	-0.343578	-2.6613	0.004986
30	-0.350863	-2.7178	0.004289
31	-0.359145	-2.7819	0.003606
32	-0.367675	-2.848	0.003008
33	-0.376455	-2.916	0.00249
34	-0.385235	-2.984	0.002055
35	-0.387059	-2.9981	0.001974
36	-0.386141	-2.991	0.002015

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.946827	7.3341	0
2	-0.020332	-0.1575	0.437694
3	0.117491	0.9101	0.183211
4	-0.201384	-1.5599	0.06202
5	-0.053739	-0.4163	0.339354
6	-0.099297	-0.7691	0.222411
7	0.003189	0.0247	0.490186
8	0.026271	0.2035	0.41972
9	0.001327	0.0103	0.495918
10	-0.061422	-0.4758	0.317981
11	-0.049909	-0.3866	0.350214
12	-0.064383	-0.4987	0.309904
13	0.02782	0.2155	0.415058
14	-0.034047	-0.2637	0.396448
15	-0.018019	-0.1396	0.444731
16	-0.063572	-0.4924	0.312107
17	-0.120813	-0.9358	0.17656
18	-0.088265	-0.6837	0.248399
19	-0.036979	-0.2864	0.387763
20	-0.046431	-0.3596	0.360186
21	0.002933	0.0227	0.490975
22	-0.133507	-1.0341	0.15261
23	0.016644	0.1289	0.448926
24	0.180875	1.4011	0.083175
25	-0.014597	-0.1131	0.455178
26	0.012776	0.099	0.460748
27	0.077476	0.6001	0.275341
28	-0.053926	-0.4177	0.338826
29	-0.028289	-0.2191	0.413649
30	-0.090798	-0.7033	0.242289
31	-0.019217	-0.1489	0.441085
32	-0.057626	-0.4464	0.32847
33	-0.037113	-0.2875	0.38737
34	-0.037204	-0.2882	0.3871
35	0.047993	0.3718	0.355693
36	0.017541	0.1359	0.446188

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260817856q3uy3rxypnvhi4y/1kggb1260817808.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260817856q3uy3rxypnvhi4y/1kggb1260817808.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260817856q3uy3rxypnvhi4y/2yh9c1260817808.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/14/t1260817856q3uy3rxypnvhi4y/2yh9c1260817808.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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