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ACFKoffie2

*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, 21 Dec 2010 08:31:37 +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/21/t1292920224gran1zfv1egjwc2.htm/, Retrieved Tue, 21 Dec 2010 09:30:24 +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/21/t1292920224gran1zfv1egjwc2.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 «

7,14 7,24 7,33 7,61 7,66 7,69 7,7 7,68 7,71 7,71 7,72 7,68 7,72 7,74 7,76 7,9 7,97 7,96 7,95 7,97 7,93 7,99 7,96 7,92 7,97 7,98 8 8,04 8,17 8,29 8,26 8,3 8,32 8,28 8,27 8,32 8,31 8,34 8,32 8,36 8,33 8,35 8,34 8,37 8,31 8,33 8,34 8,25 8,27 8,31 8,25 8,3 8,3 8,35 8,78 8,9

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.85167	6.3733	0
2	0.712805	5.3341	1e-06
3	0.632531	4.7334	8e-06
4	0.588766	4.4059	2.4e-05
5	0.554642	4.1506	5.7e-05
6	0.530391	3.9691	0.000104
7	0.497038	3.7195	0.000232
8	0.47009	3.5178	0.000436
9	0.451235	3.3767	0.00067
10	0.418567	3.1323	0.001379
11	0.388608	2.9081	0.002602
12	0.350434	2.6224	0.005612
13	0.301547	2.2566	0.013978
14	0.249302	1.8656	0.033669
15	0.192675	1.4418	0.077457
16	0.156655	1.1723	0.123021
17	0.124902	0.9347	0.176982
18	0.095813	0.717	0.238177
19	0.063301	0.4737	0.318778
20	0.036709	0.2747	0.392278
21	0.001878	0.0141	0.49442
22	-0.016416	-0.1228	0.451336
23	-0.042814	-0.3204	0.374931
24	-0.085254	-0.638	0.263042
25	-0.123088	-0.9211	0.180473
26	-0.169992	-1.2721	0.104296
27	-0.234951	-1.7582	0.042088
28	-0.288959	-2.1624	0.017438
29	-0.312776	-2.3406	0.01142
30	-0.315582	-2.3616	0.01085
31	-0.323533	-2.4211	0.00937
32	-0.32152	-2.406	0.009726
33	-0.3073	-2.2996	0.01261
34	-0.308426	-2.308	0.012357
35	-0.314945	-2.3568	0.010977
36	-0.30601	-2.29	0.012906
37	-0.30624	-2.2917	0.012853
38	-0.2988	-2.236	0.014677
39	-0.301421	-2.2556	0.01401
40	-0.309959	-2.3195	0.012019
41	-0.3188	-2.3857	0.010227
42	-0.306963	-2.2971	0.012687
43	-0.296419	-2.2182	0.015307
44	-0.277025	-2.0731	0.02139
45	-0.25751	-1.927	0.029528
46	-0.240601	-1.8005	0.038585
47	-0.223207	-1.6703	0.050217
48	-0.21632	-1.6188	0.055556

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.85167	6.3733	0
2	-0.045647	-0.3416	0.366968
3	0.133614	0.9999	0.160836
4	0.093498	0.6997	0.243512
5	0.050109	0.375	0.354545
6	0.067549	0.5055	0.307599
7	-0.00589	-0.0441	0.482499
8	0.042934	0.3213	0.374593
9	0.033683	0.2521	0.400957
10	-0.040059	-0.2998	0.382729
11	0.015397	0.1152	0.45434
12	-0.051077	-0.3822	0.351872
13	-0.062613	-0.4686	0.320603
14	-0.058872	-0.4406	0.330613
15	-0.086546	-0.6477	0.259927
16	0.011004	0.0823	0.467332
17	-0.046054	-0.3446	0.365829
18	-0.018377	-0.1375	0.445557
19	-0.031709	-0.2373	0.406649
20	-0.00928	-0.0694	0.472441
21	-0.04894	-0.3662	0.357785
22	0.034118	0.2553	0.399707
23	-0.049417	-0.3698	0.356461
24	-0.064431	-0.4822	0.315785
25	-0.023463	-0.1756	0.430627
26	-0.094115	-0.7043	0.242084
27	-0.131172	-0.9816	0.16526
28	-0.066939	-0.5009	0.309193
29	-0.004882	-0.0365	0.485492
30	0.018562	0.1389	0.445011
31	-0.038019	-0.2845	0.388537
32	0.049418	0.3698	0.356459
33	0.065231	0.4881	0.313678
34	-0.03402	-0.2546	0.399989
35	0.020038	0.15	0.440671
36	0.061537	0.4605	0.32347
37	-0.011983	-0.0897	0.464433
38	0.048539	0.3632	0.358899
39	-0.044938	-0.3363	0.368956
40	-0.025904	-0.1938	0.423499
41	-0.048382	-0.3621	0.359337
42	-0.003302	-0.0247	0.490187
43	-0.033903	-0.2537	0.400326
44	0.014462	0.1082	0.457102
45	-0.007537	-0.0564	0.47761
46	0.007174	0.0537	0.47869
47	0.009581	0.0717	0.471549
48	-0.035162	-0.2631	0.396708

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920224gran1zfv1egjwc2/1r9ih1292920293.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920224gran1zfv1egjwc2/1r9ih1292920293.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920224gran1zfv1egjwc2/2r9ih1292920293.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920224gran1zfv1egjwc2/2r9ih1292920293.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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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