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ACFKoffie2d1D1

*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 08:40:48 +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/t1292920739c1sa0n6umdi47ux.htm/, Retrieved Tue, 21 Dec 2010 09:38:59 +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/t1292920739c1sa0n6umdi47ux.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	0.122539	0.8035	0.21304
2	0.014869	0.0975	0.46139
3	0.165029	1.0822	0.142605
4	-0.071553	-0.4692	0.320646
5	-0.046228	-0.3031	0.381624
6	0.053305	0.3495	0.364193
7	-0.05072	-0.3326	0.370528
8	-0.039709	-0.2604	0.397904
9	0.019508	0.1279	0.449403
10	-0.049236	-0.3229	0.374183
11	-0.030564	-0.2004	0.421048
12	-0.12253	-0.8035	0.213057
13	-0.071999	-0.4721	0.31961
14	-0.169025	-1.1084	0.136931
15	-0.168942	-1.1078	0.137047
16	-0.037143	-0.2436	0.404364
17	0.021957	0.144	0.443095
18	-0.083854	-0.5499	0.292627
19	0.057342	0.376	0.354377
20	0.07859	0.5153	0.304474
21	-0.112913	-0.7404	0.231535
22	0.028283	0.1855	0.426868
23	0.085159	0.5584	0.289726
24	0.019806	0.1299	0.448634
25	0.204568	1.3414	0.093409
26	0.142323	0.9333	0.177944
27	-0.021719	-0.1424	0.443706
28	-0.029118	-0.1909	0.424737
29	0.019313	0.1266	0.449907
30	0.025623	0.168	0.433678
31	-0.014431	-0.0946	0.462523
32	-0.007578	-0.0497	0.4803
33	0.073521	0.4821	0.316087
34	-0.048087	-0.3153	0.37702
35	0.033179	0.2176	0.414397
36	-0.012924	-0.0847	0.466429
37	-0.053725	-0.3523	0.363167
38	-0.004134	-0.0271	0.489251
39	-0.169807	-1.1135	0.13584
40	-0.120821	-0.7923	0.216275
41	-0.109062	-0.7152	0.239186
42	-0.019092	-0.1252	0.450477
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.122539	0.8035	0.21304
2	-0.000149	-0.001	0.499612
3	0.165713	1.0867	0.141622
4	-0.116694	-0.7652	0.224163
5	-0.021886	-0.1435	0.443276
6	0.03509	0.2301	0.409553
7	-0.033661	-0.2207	0.413174
8	-0.024935	-0.1635	0.435441
9	0.005963	0.0391	0.484494
10	-0.033822	-0.2218	0.412764
11	-0.013562	-0.0889	0.464775
12	-0.140444	-0.9209	0.181107
13	-0.020944	-0.1373	0.445703
14	-0.169677	-1.1126	0.136021
15	-0.105671	-0.6929	0.24604
16	-0.017566	-0.1152	0.454416
17	0.061146	0.401	0.345217
18	-0.087333	-0.5727	0.284921
19	0.048331	0.3169	0.376415
20	0.039591	0.2596	0.3982
21	-0.106249	-0.6967	0.244863
22	-0.002238	-0.0147	0.49418
23	0.058546	0.3839	0.351468
24	0.040633	0.2664	0.395585
25	0.175366	1.15	0.12826
26	0.031855	0.2089	0.417761
27	-0.050205	-0.3292	0.371796
28	-0.14103	-0.9248	0.180116
29	-0.003533	-0.0232	0.490812
30	0.042631	0.2796	0.39058
31	0.002446	0.016	0.493638
32	-0.008218	-0.0539	0.478637
33	0.085208	0.5587	0.289617
34	-0.049537	-0.3248	0.373441
35	0.055973	0.367	0.357696
36	-0.092846	-0.6088	0.27292
37	0.055937	0.3668	0.357782
38	0.050534	0.3314	0.370986
39	-0.137762	-0.9034	0.185683
40	-0.025178	-0.1651	0.434818
41	-0.100345	-0.658	0.257021
42	-0.012797	-0.0839	0.466757
43	NA	NA	NA
44	NA	NA	NA
45	NA	NA	NA
46	NA	NA	NA
47	NA	NA	NA
48	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920739c1sa0n6umdi47ux/1kir21292920845.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920739c1sa0n6umdi47ux/1kir21292920845.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920739c1sa0n6umdi47ux/2kir21292920845.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t1292920739c1sa0n6umdi47ux/2kir21292920845.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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