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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: Tue, 29 Dec 2009 08:23:43 -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/29/t1262100252i68j3jcr9x9mws8.htm/, Retrieved Tue, 29 Dec 2009 16:24:14 +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/29/t1262100252i68j3jcr9x9mws8.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:
Paper
 
Dataseries X:
» Textbox « » Textfile « » CSV «
1178 2141 2238 2685 4341 5376 4478 6404 4617 3024 1897 2075 1351 2211 2453 3042 4765 4992 4601 6266 4812 3159 1916 2237 1595 2453 2226 3597 4706 4974 5756 5493 5004 3225 2006 2291 1588 2105 2191 3591 4668 4885 5822 5599 5340 3082 2010 2301 1514 1979 2480 3499 4676 5585 5610 5796 6199 3030 1930 2552
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
1-0.359702-2.49210.008103
2-0.043887-0.30410.381199
30.3145292.17910.017131
4-0.193175-1.33840.093543
50.0198420.13750.445618
60.1291260.89460.187729
7-0.135308-0.93740.176613
8-0.096373-0.66770.253764
90.1687271.1690.124093
10-0.082649-0.57260.284791
11-0.065908-0.45660.325001
120.1155710.80070.213626
13-0.204149-1.41440.081852
140.2195631.52120.067388
15-0.070795-0.49050.313013
16-0.099951-0.69250.245987
170.007720.05350.478783
18-0.011812-0.08180.467558
19-0.148832-1.03110.153823
200.1225330.84890.200066
21-0.044056-0.30520.380755
22-0.200985-1.39250.0851
230.2259381.56530.062036
24-0.130113-0.90140.185925
25-0.182615-1.26520.105955
260.2720181.88460.032774
27-0.129577-0.89770.186903
28-0.010414-0.07220.471391
290.1389160.96240.170326
30-0.056031-0.38820.349793
31-0.015859-0.10990.456484
320.0802120.55570.290489
33-0.050379-0.3490.364293
34-0.037329-0.25860.398515
350.0349110.24190.404954
36-0.063919-0.44280.329933
370.0162610.11270.455386
380.0147780.10240.459438
39-0.06614-0.45820.324428
400.0560770.38850.349678
410.0693610.48050.316512
42-0.022977-0.15920.437095
43-0.004061-0.02810.488834
440.0192980.13370.447098
450.0026010.0180.492848
46-0.003875-0.02680.489347
470.0028890.020.492058
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
1-0.359702-2.49210.008103
2-0.199024-1.37890.087163
30.2679151.85620.034787
40.0237250.16440.435063
5-0.01042-0.07220.471374
60.0410770.28460.388592
7-0.032634-0.22610.411043
8-0.191853-1.32920.095034
90.0251250.17410.431272
100.0544550.37730.353815
11-0.011026-0.07640.469714
120.0022270.01540.493876
13-0.17503-1.21260.1156
140.1801761.24830.108989
15-0.017526-0.12140.45193
16-0.048907-0.33880.368104
17-0.186598-1.29280.101137
18-0.036822-0.25510.399863
19-0.191825-1.3290.095065
200.0481680.33370.370023
210.0070850.04910.480526
22-0.099561-0.68980.246827
230.0199210.1380.445403
24-0.120589-0.83550.203797
25-0.208685-1.44580.077364
260.024630.17060.432612
270.0998220.69160.246265
280.0420050.2910.386144
290.010360.07180.471539
30-0.030009-0.20790.41809
310.0615430.42640.335867
32-0.086462-0.5990.275986
33-0.029231-0.20250.420185
34-0.068-0.47110.319845
35-0.097704-0.67690.250855
36-0.103286-0.71560.238856
37-0.047714-0.33060.371204
38-0.006803-0.04710.481301
390.0305810.21190.416553
40-0.066545-0.4610.323426
410.0008650.0060.497622
420.0289270.20040.421003
43-0.093911-0.65060.259192
44-0.093378-0.64690.260376
450.072310.5010.309338
46-0.011378-0.07880.468749
47-0.059022-0.40890.342209
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/29/t1262100252i68j3jcr9x9mws8/1vg3e1262100221.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/29/t1262100252i68j3jcr9x9mws8/1vg3e1262100221.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/29/t1262100252i68j3jcr9x9mws8/2tocx1262100221.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/29/t1262100252i68j3jcr9x9mws8/2tocx1262100221.ps (open in new window)


 
Parameters (Session):
 
Parameters (R input):
par1 = 60 ; par2 = 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')
 





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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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