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ACF 1.1

*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: Tue, 07 Dec 2010 15:23:27 +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/07/t1291735342iz4627h47weo37o.htm/, Retrieved Tue, 07 Dec 2010 16:22:22 +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/07/t1291735342iz4627h47weo37o.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 «
300 302 400 392 373 379 303 324 353 392 327 376 329 359 413 338 422 390 370 367 406 418 346 350 330 318 382 337 372 422 428 426 396 458 315 337 386 352 383 439 397 453 363 365 474 373 403 384 364 361 419 352 363 410 361 383 342 369 361 317 386 318 407 393 404 498 438
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'Sir Ronald Aylmer Fisher' @ 193.190.124.24


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.1897811.55340.062517
20.1323041.0830.141356
30.1418371.1610.124884
4-0.183817-1.50460.068563
5-0.003948-0.03230.487158
6-0.073902-0.60490.273639
7-0.057234-0.46850.320481
8-0.065338-0.53480.297273
90.0155070.12690.449688
100.0222530.18210.428008
110.0865680.70860.240518
120.1776921.45450.075243
130.0299090.24480.403674
14-0.034214-0.28010.390149
15-0.009241-0.07560.469965
16-0.064106-0.52470.300751
17-0.04218-0.34530.36549
18-0.023966-0.19620.422537
19-0.002606-0.02130.491523
20-0.100576-0.82330.206643
210.0323210.26460.396081
220.0426320.3490.364106
23-0.016596-0.13580.446176
240.2067651.69240.047603
250.0802150.65660.256846
26-0.03166-0.25920.398157
270.0870610.71260.239276
28-0.087814-0.71880.237384
29-0.127312-1.04210.150556
30-0.070383-0.57610.283237
31-0.151973-1.2440.108926
32-0.041859-0.34260.366475
330.0334130.27350.392655
340.1232331.00870.158373
350.0474690.38860.34942
360.1306391.06930.144379
370.0246810.2020.420255
38-0.195581-1.60090.057052
39-0.0546-0.44690.328187
40-0.21953-1.79690.038427
41-0.102592-0.83970.202018
42-0.013032-0.10670.457683
43-0.119368-0.97710.166024
440.0009940.00810.496766
450.0111850.09160.463662
460.0397580.32540.372934
47-0.017112-0.14010.444514
480.0753930.61710.269625
490.0816210.66810.253182
50-0.014532-0.1190.452835
510.0861360.7050.241612
52-0.008954-0.07330.470897
53-0.030678-0.25110.401248
54-0.022004-0.18010.428805
55-0.010989-0.090.464297
56-0.026004-0.21290.416045
57-0.031722-0.25970.397962
58-0.041711-0.34140.36693
59-0.078006-0.63850.262661
600.0023890.01960.492228


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.1897811.55340.062517
20.0998840.81760.208245
30.1050750.86010.196407
4-0.251464-2.05830.021726
50.0501310.41030.341432
6-0.057267-0.46870.320385
70.0275660.22560.411085
8-0.114163-0.93450.176711
90.0930920.7620.224371
10-0.008887-0.07270.471115
110.1145830.93790.175833
120.0918570.75190.227377
13-0.018832-0.15410.438979
14-0.11937-0.97710.166022
150.0222670.18230.427963
16-0.001587-0.0130.494836
170.0018110.01480.494109
18-0.033446-0.27380.392553
190.0501320.41030.341431
20-0.128493-1.05180.148343
210.0822010.67280.251681
220.0039570.03240.487127
23-0.005013-0.0410.483694
240.1283871.05090.148541
250.0715070.58530.280153
26-0.093805-0.76780.222644
270.0624590.51130.305428
28-0.077082-0.63090.265112
29-0.077509-0.63440.263978
30-0.074907-0.61310.27093
31-0.034702-0.2840.388624
320.0363820.29780.383389
330.0490170.40120.344766
340.1190770.97470.16661
35-0.064786-0.53030.298829
360.0444040.36350.358701
37-0.078247-0.64050.262022
38-0.17426-1.42640.079201
39-0.042405-0.34710.364801
40-0.112422-0.92020.180381
410.0801770.65630.256946
420.0270120.22110.412841
43-0.079383-0.64980.259029
44-0.015762-0.1290.448865
45-0.017288-0.14150.443946
46-0.027979-0.2290.409776
47-0.063754-0.52180.301748
480.0625020.51160.305305
490.0794590.65040.258828
500.0809340.66250.25497
510.0372260.30470.380768
52-0.007783-0.06370.474696
53-0.032489-0.26590.395553
54-0.039873-0.32640.372578
550.0681960.55820.289281
560.0047490.03890.484555
57-0.032374-0.2650.395916
58-0.1279-1.04690.149453
59-0.028782-0.23560.407233
60-0.082063-0.67170.252036
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/07/t1291735342iz4627h47weo37o/1p26z1291735404.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/07/t1291735342iz4627h47weo37o/1p26z1291735404.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/07/t1291735342iz4627h47weo37o/2p26z1291735404.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/07/t1291735342iz4627h47weo37o/2p26z1291735404.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 60 ; 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')
 




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