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acf

*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: Thu, 26 Nov 2009 13:57:34 -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/26/t12592691125xx85zayl1huzaq.htm/, Retrieved Thu, 26 Nov 2009 21:58:34 +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/26/t12592691125xx85zayl1huzaq.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 «

6,3 6,2 6,1 6,3 6,5 6,6 6,5 6,2 6,2 5,9 6,1 6,1 6,1 6,1 6,1 6,4 6,7 6,9 7 7 6,8 6,4 5,9 5,5 5,5 5,6 5,8 5,9 6,1 6,1 6 6 5,9 5,5 5,6 5,4 5,2 5,2 5,2 5,5 5,8 5,8 5,5 5,3 5,1 5,2 5,8 5,8 5,5 5 4,9 5,3 6,1 6,5 6,8 6,6 6,4 6,4

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	0.873615	6.6533	0
2	0.632453	4.8166	5e-06
3	0.384224	2.9262	0.002446
4	0.217699	1.6579	0.051364
5	0.160713	1.224	0.112959
6	0.148049	1.1275	0.132086
7	0.13588	1.0348	0.152522
8	0.123193	0.9382	0.176013
9	0.124685	0.9496	0.173136
10	0.160154	1.2197	0.113758
11	0.219647	1.6728	0.049878
12	0.259771	1.9784	0.026322
13	0.252945	1.9264	0.029481
14	0.189453	1.4428	0.077223
15	0.074961	0.5709	0.28514
16	-0.062369	-0.475	0.318288
17	-0.187117	-1.425	0.079752
18	-0.263515	-2.0069	0.024716
19	-0.287039	-2.186	0.016432
20	-0.264368	-2.0134	0.024362
21	-0.234436	-1.7854	0.039712
22	-0.203104	-1.5468	0.063677
23	-0.178063	-1.3561	0.090164
24	-0.152009	-1.1577	0.125873
25	-0.132634	-1.0101	0.158318
26	-0.1311	-0.9984	0.161109
27	-0.167638	-1.2767	0.103399
28	-0.231238	-1.7611	0.04175
29	-0.31104	-2.3688	0.010598
30	-0.374597	-2.8528	0.002998
31	-0.389459	-2.966	0.002187
32	-0.354766	-2.7018	0.004514
33	-0.263255	-2.0049	0.024825
34	-0.139532	-1.0626	0.146174
35	-0.027876	-0.2123	0.416311
36	0.034031	0.2592	0.39821

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.873615	6.6533	0
2	-0.552158	-4.2051	4.6e-05
3	0.05467	0.4164	0.339342
4	0.203734	1.5516	0.0631
5	0.120982	0.9214	0.180336
6	-0.202717	-1.5438	0.064033
7	0.002975	0.0227	0.491
8	0.174601	1.3297	0.094408
9	0.090722	0.6909	0.246187
10	0.043889	0.3343	0.369698
11	0.044239	0.3369	0.368698
12	-0.043022	-0.3276	0.372181
13	-0.03135	-0.2388	0.40607
14	-0.07255	-0.5525	0.291355
15	-0.168275	-1.2815	0.102552
16	-0.147278	-1.1216	0.13332
17	-0.039164	-0.2983	0.383285
18	0.039354	0.2997	0.382734
19	-0.087923	-0.6696	0.252884
20	-0.008871	-0.0676	0.473186
21	-0.108761	-0.8283	0.205448
22	0.07514	0.5723	0.284681
23	-0.041726	-0.3178	0.375899
24	0.00558	0.0425	0.483126
25	-0.10142	-0.7724	0.22151
26	0.006589	0.0502	0.480076
27	-0.096665	-0.7362	0.232294
28	0.008646	0.0658	0.473864
29	-0.131879	-1.0044	0.159689
30	0.006056	0.0461	0.481688
31	0.056736	0.4321	0.33364
32	0.024096	0.1835	0.427519
33	0.13077	0.9959	0.161714
34	0.067465	0.5138	0.304673
35	-0.029436	-0.2242	0.411704
36	-0.107736	-0.8205	0.207647

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592691125xx85zayl1huzaq/1j2dp1259269053.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592691125xx85zayl1huzaq/1j2dp1259269053.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592691125xx85zayl1huzaq/2m6iy1259269053.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592691125xx85zayl1huzaq/2m6iy1259269053.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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