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W9 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, 03 Dec 2010 09:05:40 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/03/t1291367024kjctsfab2vhiowp.htm/, Retrieved Fri, 03 Dec 2010 10:03:46 +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/2010/Dec/03/t1291367024kjctsfab2vhiowp.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

10057 10900 11771 11992 11993 14504 11727 11477 13578 11555 11846 11397 10066 10269 14279 13870 13695 14420 11424 9704 12464 14301 13464 9893 11572 12380 16692 16052 16459 14761 13654 13480 18068 16560 14530 10650 11651 13735 13360 17818 20613 16231 13862 12004 17734 15034 12609 12320 10833 11350 13648 14890 16325 18045 15616 11926 16855 15083 12520 12355

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	0.509969	3.9502	0.000104
2	0.097421	0.7546	0.226713
3	-0.012413	-0.0962	0.46186
4	0.015184	0.1176	0.453382
5	0.065753	0.5093	0.306198
6	0.175137	1.3566	0.089995
7	0.121471	0.9409	0.175261
8	-0.030507	-0.2363	0.406999
9	-0.104467	-0.8092	0.210799
10	0.04036	0.3126	0.377823
11	0.296111	2.2937	0.012664
12	0.548265	4.2468	3.8e-05
13	0.326629	2.5301	0.007024
14	0.023016	0.1783	0.429552
15	-0.1169	-0.9055	0.184411
16	-0.051444	-0.3985	0.345844
17	-0.029327	-0.2272	0.410532

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.509969	3.9502	0.000104
2	-0.219814	-1.7027	0.046903
3	0.055501	0.4299	0.334402
4	0.027823	0.2155	0.415048
5	0.05018	0.3887	0.349441
6	0.161247	1.249	0.108255
7	-0.071505	-0.5539	0.290862
8	-0.075846	-0.5875	0.279536
9	-0.032553	-0.2522	0.400892
10	0.161943	1.2544	0.10728
11	0.267647	2.0732	0.021229
12	0.382208	2.9606	0.002196
13	-0.183385	-1.4205	0.08032
14	-0.069067	-0.535	0.297317
15	-0.101108	-0.7832	0.2183
16	0.0412	0.3191	0.375367
17	-0.125131	-0.9693	0.168154

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291367024kjctsfab2vhiowp/1lido1291367138.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291367024kjctsfab2vhiowp/1lido1291367138.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291367024kjctsfab2vhiowp/2wsvr1291367138.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/03/t1291367024kjctsfab2vhiowp/2wsvr1291367138.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 0 ; par4 = 0 ; 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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