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ACF Link 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: Wed, 25 Nov 2009 11:57:31 -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/t125917559971xbivux2ajg1hb.htm/, Retrieved Wed, 25 Nov 2009 20:00:01 +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/t125917559971xbivux2ajg1hb.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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.402214	2.8155	0.003498
2	0.235435	1.648	0.052871
3	0.472424	3.307	0.000886
4	0.397058	2.7794	0.003851
5	0.211593	1.4812	0.072484
6	0.200147	1.401	0.083753
7	0.306592	2.1461	0.01842
8	0.193589	1.3551	0.090796
9	0.071453	0.5002	0.309596
10	0.149388	1.0457	0.150411
11	-0.065919	-0.4614	0.323265
12	-0.18929	-1.325	0.095654
13	-0.025164	-0.1761	0.430453
14	-0.096837	-0.6779	0.250526
15	-0.17064	-1.1945	0.119021
16	-0.148462	-1.0392	0.151898
17	-0.072703	-0.5089	0.306546
18	-0.104414	-0.7309	0.234162
19	-0.117648	-0.8235	0.207097
20	-0.160052	-1.1204	0.13401
21	-0.144559	-1.0119	0.158276
22	-0.049987	-0.3499	0.363953
23	-0.042986	-0.3009	0.382381
24	-0.183132	-1.2819	0.102951
25	-0.026663	-0.1866	0.426355
26	0.080942	0.5666	0.286789
27	-0.057658	-0.4036	0.344129
28	-0.140724	-0.9851	0.164715
29	-0.016786	-0.1175	0.453471
30	-0.015377	-0.1076	0.45736
31	-0.1624	-1.1368	0.130576
32	-0.064236	-0.4496	0.327473
33	0.002967	0.0208	0.491758
34	-0.113715	-0.796	0.214935
35	-0.073364	-0.5135	0.304939
36	-0.056499	-0.3955	0.347098

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.402214	2.8155	0.003498
2	0.087875	0.6151	0.270658
3	0.421647	2.9515	0.00242
4	0.127775	0.8944	0.187733
5	-0.016622	-0.1164	0.453925
6	-0.061501	-0.4305	0.334356
7	0.096233	0.6736	0.251855
8	-0.034464	-0.2412	0.405185
9	-0.065279	-0.457	0.324861
10	0.00296	0.0207	0.491775
11	-0.33127	-2.3189	0.012307
12	-0.216553	-1.5159	0.067988
13	0.029275	0.2049	0.419239
14	-0.027078	-0.1895	0.425223
15	0.095274	0.6669	0.253977
16	0.010028	0.0702	0.472161
17	0.061659	0.4316	0.333959
18	0.077219	0.5405	0.295638
19	0.181706	1.2719	0.104699
20	-0.111024	-0.7772	0.220398
21	-0.029808	-0.2087	0.417792
22	0.042777	0.2994	0.382936
23	-0.067651	-0.4736	0.318959
24	-0.223158	-1.5621	0.06235
25	0.067676	0.4737	0.318898
26	0.022287	0.156	0.438333
27	-0.037268	-0.2609	0.397641
28	-0.114893	-0.8043	0.212567
29	-0.02395	-0.1677	0.433773
30	-0.016397	-0.1148	0.454545
31	-0.039298	-0.2751	0.392202
32	0.017228	0.1206	0.452251
33	0.023783	0.1665	0.434231
34	0.018509	0.1296	0.448721
35	0.025652	0.1796	0.429117
36	-0.128797	-0.9016	0.185845

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/25/t125917559971xbivux2ajg1hb/1j5ar1259175446.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125917559971xbivux2ajg1hb/1j5ar1259175446.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125917559971xbivux2ajg1hb/2lkzo1259175446.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/25/t125917559971xbivux2ajg1hb/2lkzo1259175446.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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')

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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