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ACF Link 1

*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, 25 Nov 2009 11:29:11 -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/Nov/25/t1259174050zp8w5xrymmhw432.htm/, Retrieved Wed, 25 Nov 2009 19:34:12 +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/Nov/25/t1259174050zp8w5xrymmhw432.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 «

5250,0 3937,0 4004,0 5560,0 3922,0 3759,0 4138,0 4634,0 3996,0 4308,0 4143,0 4429,0 5219,0 4929,0 5755,0 5592,0 4163,0 4962,0 5208,0 4755,0 4491,0 5732,0 5731,0 5040,0 6102,0 4904,0 5369,0 5578,0 4619,0 4731,0 5011,0 5299,0 4146,0 4625,0 4736,0 4219,0 5116,0 4205,0 4121,0 5103,0 4300,0 4578,0 3809,0 5526,0 4247,0 3830,0 4394,0 4826,0 4409,0 4569,0 4106,0 4794,0 3914,0 3793,0 4405,0 4022,0 4100,0 4788,0 3163,0 3585,0 3903,0

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	0.267634	2.0903	0.020384
2	0.228618	1.7856	0.03957
3	0.436705	3.4108	0.000577
4	0.280409	2.1901	0.016177
5	0.184888	1.444	0.076925
6	0.175337	1.3694	0.087944
7	0.203147	1.5866	0.058884
8	0.133882	1.0457	0.149923
9	0.145188	1.134	0.130625
10	0.112761	0.8807	0.19097
11	-0.047218	-0.3688	0.356782
12	0.167866	1.3111	0.097373
13	-0.040071	-0.313	0.377689
14	-0.009619	-0.0751	0.470179
15	0.010471	0.0818	0.467543
16	-0.118849	-0.9282	0.17847
17	-0.105588	-0.8247	0.206386
18	-0.038543	-0.301	0.382207
19	-0.11155	-0.8712	0.193521
20	-0.197391	-1.5417	0.064162
21	-0.02514	-0.1963	0.422496
22	-0.09474	-0.7399	0.231087
23	-0.177463	-1.386	0.085392
24	-0.034245	-0.2675	0.395007
25	-0.115679	-0.9035	0.184912
26	-0.104635	-0.8172	0.208491
27	-0.091338	-0.7134	0.239167
28	-0.137262	-1.0721	0.14396
29	-0.15955	-1.2461	0.108742
30	-0.119667	-0.9346	0.176832
31	-0.176034	-1.3749	0.087101
32	-0.202741	-1.5835	0.059245
33	-0.093879	-0.7332	0.233117
34	-0.183735	-1.435	0.078195
35	-0.202804	-1.5839	0.059188
36	-0.044258	-0.3457	0.36539

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.267634	2.0903	0.020384
2	0.169103	1.3207	0.095762
3	0.377687	2.9498	0.002252
4	0.117238	0.9157	0.181725
5	0.008617	0.0673	0.473282
6	-0.067174	-0.5246	0.300864
7	0.029711	0.232	0.408639
8	-0.002975	-0.0232	0.490768
9	0.062277	0.4864	0.314212
10	-0.015785	-0.1233	0.451145
11	-0.191348	-1.4945	0.070103
12	0.134554	1.0509	0.148725
13	-0.155139	-1.2117	0.115155
14	0.077533	0.6055	0.27353
15	-0.074824	-0.5844	0.280556
16	-0.117093	-0.9145	0.18202
17	-0.094615	-0.739	0.231382
18	0.061557	0.4808	0.316197
19	-0.026003	-0.2031	0.419869
20	-0.078294	-0.6115	0.271572
21	0.096448	0.7533	0.227089
22	-0.076082	-0.5942	0.277282
23	0.04832	0.3774	0.353596
24	-0.005911	-0.0462	0.481665
25	0.003522	0.0275	0.489072
26	-0.018331	-0.1432	0.443314
27	-0.038773	-0.3028	0.381525
28	-0.074603	-0.5827	0.281132
29	-0.075664	-0.591	0.278367
30	-0.02764	-0.2159	0.414902
31	-0.129005	-1.0076	0.158823
32	-0.005053	-0.0395	0.484323
33	-0.034236	-0.2674	0.395036
34	-0.037257	-0.291	0.386024
35	-0.050847	-0.3971	0.34633
36	0.066627	0.5204	0.302343

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259174050zp8w5xrymmhw432/137q41259173749.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259174050zp8w5xrymmhw432/137q41259173749.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259174050zp8w5xrymmhw432/2sam01259173749.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t1259174050zp8w5xrymmhw432/2sam01259173749.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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