WS8 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: Fri, 27 Nov 2009 08:19:54 -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/27/t1259335285v0rfwmrorr0dzfd.htm/, Retrieved Fri, 27 Nov 2009 16:21:27 +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/27/t1259335285v0rfwmrorr0dzfd.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:

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10284,5 12792 12823,61538 13845,66667 15335,63636 11188,5 13633,25 12298,46667 15353,63636 12696,15385 12213,93333 13683,72727 11214,14286 13950,23077 11179,13333 11801,875 11188,82353 16456,27273 11110,0625 16530,69231 10038,41176 11681,25 11148,88235 8631 9386,444444 9764,736842 12043,75 12948,06667 10987,125 11648,3125 10633,35294 10219,3 9037,6 10296,31579 11705,41176 10681,94444 9362,947368 11306,35294 10984,45 10062,61905 8118,583333 8867,48 8346,72 8529,307692 10697,18182 8591,84 8695,607143 8125,571429 7009,758621 7883,466667 7527,645161 6763,758621 6682,333333 7855,681818 6738,88 7895,434783 6361,884615 6935,956522 8344,454545 9107,944444

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 2 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.632568 4.8999 4e-06 2 0.729162 5.6481 0 3 0.545761 4.2274 4.1e-05 4 0.542226 4.2001 4.5e-05 5 0.50682 3.9258 0.000113 6 0.465185 3.6033 0.00032 7 0.458129 3.5487 0.00038 8 0.449806 3.4842 0.000464 9 0.44426 3.4412 0.00053 10 0.360095 2.7893 0.003534 11 0.335324 2.5974 0.005899 12 0.203632 1.5773 0.059989 13 0.215965 1.6729 0.049781 14 0.140453 1.0879 0.140485 15 0.177946 1.3784 0.086604 16 0.171333 1.3271 0.094746 17 0.09243 0.716 0.238397 18 0.113228 0.8771 0.191976 19 -0.010321 -0.0799 0.468272 20 -0.002615 -0.0203 0.491953 21 -0.062579 -0.4847 0.314815 22 -0.05862 -0.4541 0.325709 23 -0.059967 -0.4645 0.321983 24 -0.061391 -0.4755 0.318067 25 -0.029952 -0.232 0.40866 26 -0.065299 -0.5058 0.307425 27 -0.082818 -0.6415 0.26182 28 -0.144011 -1.1155 0.134541 29 -0.18053 -1.3984 0.083573 30 -0.180121 -1.3952 0.084048 31 -0.173213 -1.3417 0.092375 32 -0.214891 -1.6645 0.05061 33 -0.19303 -1.4952 0.070051 34 -0.222623 -1.7244 0.04489 35 -0.275273 -2.1323 0.018544 36 -0.251755 -1.9501 0.027921 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.632568 4.8999 4e-06 2 0.548497 4.2486 3.8e-05 3 -0.022542 -0.1746 0.430988 4 -0.0257 -0.1991 0.421439 5 0.148081 1.147 0.127961 6 0.034186 0.2648 0.396035 7 0.019867 0.1539 0.439108 8 0.101802 0.7886 0.216739 9 0.066887 0.5181 0.303146 10 -0.172472 -1.336 0.093304 11 -0.087596 -0.6785 0.250027 12 -0.168299 -1.3036 0.098669 13 -0.015599 -0.1208 0.452115 14 0.013375 0.1036 0.458916 15 0.086529 0.6703 0.252634 16 0.100305 0.777 0.220118 17 -0.203607 -1.5771 0.060011 18 -0.043999 -0.3408 0.367216 19 -0.094288 -0.7304 0.234008 20 -0.04253 -0.3294 0.371487 21 0.072272 0.5598 0.288843 22 0.074278 0.5754 0.283602 23 0.037598 0.2912 0.385938 24 -0.070511 -0.5462 0.293486 25 0.058195 0.4508 0.326886 26 -0.031515 -0.2441 0.403986 27 -0.074107 -0.574 0.284046 28 -0.016719 -0.1295 0.448696 29 -0.092039 -0.7129 0.239326 30 0.035615 0.2759 0.391798 31 -0.00328 -0.0254 0.489906 32 -0.153671 -1.1903 0.119302 33 -0.054296 -0.4206 0.337784 34 -0.015644 -0.1212 0.451976 35 -0.132669 -1.0276 0.15412 36 0.031561 0.2445 0.403852

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335285v0rfwmrorr0dzfd/13is31259335191.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335285v0rfwmrorr0dzfd/13is31259335191.ps (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335285v0rfwmrorr0dzfd/251e11259335191.png (open in new window) http://www.freestatistics.org/blog/date/2009/Nov/27/t1259335285v0rfwmrorr0dzfd/251e11259335191.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')

Copyright

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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