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ACF 3

*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, 16 Dec 2009 11:10:14 -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/16/t12609871072x8n2unrjxjyfsj.htm/, Retrieved Wed, 16 Dec 2009 19:11:49 +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/16/t12609871072x8n2unrjxjyfsj.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 «

10.9 10 9.2 9.2 9.5 9.6 9.5 9.1 8.9 9 10.1 10.3 10.2 9.6 9.2 9.3 9.4 9.4 9.2 9 9 9 9.8 10 9.8 9.3 9 9 9.1 9.1 9.1 9.2 8.8 8.3 8.4 8.1 7.7 7.9 7.9 8 7.9 7.6 7.1 6.8 6.5 6.9 8.2 8.7 8.3 7.9 7.5 7.8 8.3 8.4 8.2 7.7 7.2 7.3 8.1 8.5

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	0.286508	1.9432	0.029064
2	-0.149851	-1.0163	0.157392
3	-0.540721	-3.6673	0.000317
4	-0.47769	-3.2399	0.001112
5	-0.155691	-1.056	0.148253
6	0.251256	1.7041	0.047555
7	0.284902	1.9323	0.029747
8	0.300535	2.0383	0.023645
9	0.12261	0.8316	0.204971
10	-0.104621	-0.7096	0.240776
11	-0.208893	-1.4168	0.081642
12	-0.290497	-1.9702	0.027424
13	-0.189838	-1.2875	0.102172
14	0.159332	1.0806	0.142745
15	0.193054	1.3094	0.098458
16	0.162435	1.1017	0.138165
17	0.097011	0.658	0.256921
18	-0.11877	-0.8055	0.212326
19	-0.138628	-0.9402	0.176008
20	-0.044991	-0.3051	0.380815
21	-0.02684	-0.182	0.428178
22	0.077024	0.5224	0.301948
23	0.045337	0.3075	0.37993
24	-0.063591	-0.4313	0.334133
25	-0.021168	-0.1436	0.443233
26	0.109333	0.7415	0.23107
27	0.043223	0.2932	0.385363
28	0.018099	0.1228	0.451419
29	-0.101133	-0.6859	0.248104
30	-0.159534	-1.082	0.142443
31	0.018746	0.1271	0.449692
32	0.057734	0.3916	0.348591
33	0.106721	0.7238	0.236421
34	0.044122	0.2993	0.383049
35	-0.065569	-0.4447	0.329307
36	-0.045204	-0.3066	0.38027

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.286508	1.9432	0.029064
2	-0.252679	-1.7138	0.046653
3	-0.482417	-3.2719	0.001015
4	-0.338588	-2.2964	0.013128
5	-0.242112	-1.6421	0.053696
6	-0.104651	-0.7098	0.240712
7	-0.295906	-2.0069	0.025327
8	-0.049804	-0.3378	0.368531
9	0.083736	0.5679	0.286425
10	0.027404	0.1859	0.426686
11	0.104618	0.7096	0.240781
12	-0.054182	-0.3675	0.357472
13	-0.081832	-0.555	0.290787
14	0.149817	1.0161	0.157446
15	-0.154706	-1.0493	0.149769
16	-0.205522	-1.3939	0.08502
17	-0.017606	-0.1194	0.452734
18	-0.163405	-1.1083	0.136755
19	-0.102261	-0.6936	0.24572
20	0.01337	0.0907	0.46407
21	0.025903	0.1757	0.430658
22	0.138879	0.9419	0.175577
23	0.038919	0.264	0.396494
24	-0.082431	-0.5591	0.28941
25	-0.056518	-0.3833	0.351622
26	0.174362	1.1826	0.121526
27	-0.036755	-0.2493	0.402125
28	-0.192676	-1.3068	0.09889
29	-0.056598	-0.3839	0.351422
30	-0.113733	-0.7714	0.222214
31	-0.019931	-0.1352	0.446529
32	-0.083122	-0.5638	0.287826
33	-0.007397	-0.0502	0.480102
34	-0.014245	-0.0966	0.461726
35	-0.050895	-0.3452	0.365763
36	-0.021568	-0.1463	0.44217

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609871072x8n2unrjxjyfsj/1anmf1260987013.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609871072x8n2unrjxjyfsj/1anmf1260987013.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609871072x8n2unrjxjyfsj/2zuf31260987013.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/16/t12609871072x8n2unrjxjyfsj/2zuf31260987013.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; 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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