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WS8 ACF eerste link

*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: Sat, 28 Nov 2009 07:46:28 -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/28/t12594196687y0q0q881k8f9yv.htm/, Retrieved Sat, 28 Nov 2009 15:47:50 +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/28/t12594196687y0q0q881k8f9yv.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:

WS8 ACF eerste link

Dataseries X:

» Textbox « » Textfile « » CSV «

4.2 4 4.9 4.6 4.3 4.3 4.6 5.1 4.8 4.5 4.9 5.1 5.1 5.2 4.5 4.6 4.9 4.6 4.4 3.7 4 4.2 3.9 3.6 3.6 3.2 3.2 3.5 3.6 3.7 3.8 3.8 3.8 3.3 3.3 3.4 3.1 3.5 4.2 4.9 5.1 5.5 5.6 6.4 6.2 7.2 7.8 7.9 7.4 7.5 6.7 5.1 4.6 4.3 3.9 2.6 2.6 1.6 0.9 0.3

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	0.875544	6.7819	0
2	0.733388	5.6808	0
3	0.585515	4.5354	1.4e-05
4	0.438213	3.3944	0.000612
5	0.252378	1.9549	0.027628
6	0.095675	0.7411	0.230763
7	-0.054669	-0.4235	0.336735
8	-0.204664	-1.5853	0.059075
9	-0.344383	-2.6676	0.004904
10	-0.423443	-3.28	0.000866
11	-0.45915	-3.5566	0.00037
12	-0.494138	-3.8276	0.000156
13	-0.463654	-3.5915	0.000332
14	-0.407434	-3.156	0.001251
15	-0.356719	-2.7631	0.003795
16	-0.328194	-2.5422	0.006808
17	-0.272609	-2.1116	0.019446
18	-0.230558	-1.7859	0.039585
19	-0.187142	-1.4496	0.076189
20	-0.154993	-1.2006	0.117318
21	-0.106245	-0.823	0.206893
22	-0.069224	-0.5362	0.296899
23	-0.057145	-0.4426	0.329806
24	-0.048609	-0.3765	0.353927
25	-0.021568	-0.1671	0.433939
26	-0.005238	-0.0406	0.483885
27	0.013048	0.1011	0.459916
28	0.050537	0.3915	0.348424
29	0.086944	0.6735	0.251618
30	0.121098	0.938	0.175997
31	0.150088	1.1626	0.124802
32	0.181176	1.4034	0.082828
33	0.193006	1.495	0.070076
34	0.179609	1.3912	0.084644
35	0.161753	1.2529	0.107545
36	0.153513	1.1891	0.119541

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.875544	6.7819	0
2	-0.142188	-1.1014	0.137564
3	-0.102346	-0.7928	0.215517
4	-0.088276	-0.6838	0.248371
5	-0.274247	-2.1243	0.018887
6	0.002928	0.0227	0.49099
7	-0.127087	-0.9844	0.164434
8	-0.169407	-1.3122	0.097222
9	-0.105614	-0.8181	0.208273
10	0.045201	0.3501	0.363736
11	0.032526	0.2519	0.400973
12	-0.145998	-1.1309	0.131299
13	0.176382	1.3662	0.08848
14	-0.052749	-0.4086	0.342146
15	-0.121278	-0.9394	0.175643
16	-0.127745	-0.9895	0.163194
17	-0.056807	-0.44	0.330751
18	-0.134682	-1.0432	0.150511
19	-0.02436	-0.1887	0.425487
20	-0.066663	-0.5164	0.303747
21	-0.034536	-0.2675	0.394994
22	0.010704	0.0829	0.467097
23	-0.105321	-0.8158	0.208917
24	-0.088092	-0.6824	0.24882
25	0.0238	0.1844	0.427179
26	-0.081929	-0.6346	0.264045
27	-0.041958	-0.325	0.373153
28	-0.003977	-0.0308	0.487762
29	-0.028938	-0.2242	0.4117
30	-0.002675	-0.0207	0.491768
31	0.004113	0.0319	0.487345
32	-0.042766	-0.3313	0.370798
33	-0.079133	-0.613	0.271109
34	-0.10903	-0.8445	0.200861
35	-0.068863	-0.5334	0.29786
36	-0.036933	-0.2861	0.3879

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/28/t12594196687y0q0q881k8f9yv/1skmo1259419586.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t12594196687y0q0q881k8f9yv/1skmo1259419586.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t12594196687y0q0q881k8f9yv/20tyk1259419586.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/28/t12594196687y0q0q881k8f9yv/20tyk1259419586.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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