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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: Thu, 26 Nov 2009 15:26:09 -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/t1259274474vzb00v0904i4ik8.htm/, Retrieved Thu, 26 Nov 2009 23:27:57 +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/t1259274474vzb00v0904i4ik8.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 «

96.2 96.8 109.9 88 91.1 106.4 68.6 100.1 108 106 108.6 91.5 99.2 98 96.6 102.8 96.9 110 70.5 101.9 109.6 107.8 113 93.8 108 102.8 116.3 89.2 106.7 112.1 74.2 108.8 111.5 118.8 118.9 97.6 116.4 107.9 121.2 97.9 113.4 117.6 79.6 115.9 115.7 129.1 123.3 96.7 121.2 118.2 102.1 125.4 116.7 121.3 85.3 114.2 124.4 131 118.3 99.6

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	-0.468068	-3.2429	0.001078
2	0.10284	0.7125	0.239804
3	0.059723	0.4138	0.340441
4	-0.110671	-0.7668	0.223492
5	0.089541	0.6204	0.268978
6	-0.032656	-0.2262	0.410984
7	-0.030946	-0.2144	0.41557
8	0.110186	0.7634	0.224482
9	0.030113	0.2086	0.41781
10	-0.015397	-0.1067	0.457747
11	0.059514	0.4123	0.340968
12	-0.155453	-1.077	0.143429
13	0.104862	0.7265	0.235528
14	-0.078151	-0.5414	0.295353
15	0.05764	0.3993	0.345706
16	-0.035977	-0.2493	0.402112
17	-0.04902	-0.3396	0.367811
18	0.073323	0.508	0.306892
19	-0.09725	-0.6738	0.251846
20	0.03803	0.2635	0.396656
21	0.00148	0.0103	0.495931
22	-0.179669	-1.2448	0.109627
23	0.250475	1.7353	0.044549
24	-0.32237	-2.2334	0.015108
25	0.103532	0.7173	0.238337
26	-0.052096	-0.3609	0.359868
27	0.013701	0.0949	0.462384
28	0.040388	0.2798	0.390411
29	-0.060716	-0.4207	0.337942
30	0.045284	0.3137	0.37754
31	-0.014979	-0.1038	0.458889
32	-0.06457	-0.4474	0.328317
33	0.004979	0.0345	0.486312
34	-0.001295	-0.009	0.49644
35	-0.116785	-0.8091	0.211221
36	0.254197	1.7611	0.042293
37	-0.127694	-0.8847	0.190368
38	8.9e-05	6e-04	0.499756
39	0.007486	0.0519	0.479425
40	-0.019898	-0.1379	0.445466
41	0.061123	0.4235	0.336921
42	-0.039062	-0.2706	0.393917
43	-0.025031	-0.1734	0.431524
44	0.059611	0.413	0.340724
45	0.022407	0.1552	0.43864
46	0.00651	0.0451	0.482107
47	0.000722	0.005	0.498015
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.468068	-3.2429	0.001078
2	-0.148861	-1.0313	0.153775
3	0.059386	0.4114	0.341291
4	-0.051598	-0.3575	0.361149
5	0.014807	0.1026	0.45936
6	0.013324	0.0923	0.463416
7	-0.035439	-0.2455	0.403548
8	0.086421	0.5987	0.276081
9	0.171451	1.1878	0.120369
10	0.099195	0.6872	0.247619
11	0.092025	0.6376	0.263392
12	-0.123119	-0.853	0.198949
13	-0.042418	-0.2939	0.385058
14	-0.073091	-0.5064	0.307452
15	0.029629	0.2053	0.419113
16	-0.039182	-0.2715	0.393602
17	-0.123668	-0.8568	0.197907
18	-0.051658	-0.3579	0.360994
19	-0.105318	-0.7297	0.234571
20	-0.025948	-0.1798	0.429044
21	0.041982	0.2909	0.386207
22	-0.189112	-1.3102	0.098181
23	0.103379	0.7162	0.23866
24	-0.244675	-1.6952	0.048262
25	-0.133402	-0.9242	0.179992
26	-0.162224	-1.1239	0.133318
27	0.036649	0.2539	0.400325
28	0.051539	0.3571	0.361302
29	-0.021244	-0.1472	0.441803
30	0.068967	0.4778	0.317475
31	0.019019	0.1318	0.447859
32	-0.016905	-0.1171	0.453626
33	0.032134	0.2226	0.412384
34	-0.018256	-0.1265	0.449939
35	-0.100924	-0.6992	0.243893
36	0.061544	0.4264	0.335865
37	0.089788	0.6221	0.268421
38	-0.108818	-0.7539	0.227293
39	-0.094576	-0.6552	0.257719
40	-0.020881	-0.1447	0.44279
41	0.005596	0.0388	0.484617
42	0.043909	0.3042	0.381142
43	-0.078835	-0.5462	0.293733
44	-0.066298	-0.4593	0.324038
45	0.007854	0.0544	0.478415
46	-0.064227	-0.445	0.329169
47	0.052134	0.3612	0.35977
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259274474vzb00v0904i4ik8/1w6571259274368.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259274474vzb00v0904i4ik8/1w6571259274368.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259274474vzb00v0904i4ik8/2kbyw1259274368.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t1259274474vzb00v0904i4ik8/2kbyw1259274368.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ; 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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