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acf laaggeschoolden

*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 19:24:27 +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/21/t12929593498xde18836whbtss.htm/, Retrieved Tue, 21 Dec 2010 20:22:32 +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/t12929593498xde18836whbtss.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 «

104708 101817 97898 95559 92822 90848 101141 105841 93647 90923 89130 90212 93196 91861 90593 89895 88819 87924 96906 101217 98709 98139 95529 98577 100772 100180 99200 96251 94514 93780 105192 107682 99687 99436 102049 102673 105813 105056 103916 103513 101893 102503 113149 116696 108500 107800 105941 108742 111680 111270 110698 108517 107127 107088 116321 125045 116779 122887 120162 123198 123610 122293 121289 119393 117494 116693 125062 127281 120195 119804 117113 119240 115823 116281 113816 114632 112987 111633 116721 114850 112797 105368 102524 101327 102612 98873 95993 93244 90403 88539 98106 96963 90781 89253 87794 89810 90864 89025 87621 87718 83433 84535 92223 91052 88456 88706 89137 94066 99258 100673 102269 100833 99314 101764 108242 108148 104761 103772 103737 111043 109906 109335 107247 105690 102755 102280 110590 109122 102803 101424 99138

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.926975	10.6097	0
2	0.845859	9.6813	0
3	0.809024	9.2597	0
4	0.799938	9.1557	0
5	0.80404	9.2027	0
6	0.783399	8.9664	0
7	0.725139	8.2996	0
8	0.642607	7.355	0
9	0.575833	6.5907	0
10	0.531785	6.0866	0
11	0.536007	6.1349	0
12	0.528175	6.0452	0
13	0.423016	4.8416	2e-06
14	0.312672	3.5787	0.000242
15	0.24222	2.7723	0.003189
16	0.201967	2.3116	0.01118
17	0.177406	2.0305	0.022165
18	0.136389	1.561	0.060463
19	0.064247	0.7353	0.231725
20	-0.022399	-0.2564	0.399036
21	-0.090426	-1.035	0.151294
22	-0.13426	-1.5367	0.063392
23	-0.126727	-1.4505	0.07466
24	-0.134541	-1.5399	0.063
25	-0.225413	-2.58	0.005492
26	-0.31535	-3.6093	0.000218
27	-0.354529	-4.0578	4.2e-05
28	-0.369107	-4.2246	2.2e-05
29	-0.366335	-4.1929	2.5e-05
30	-0.378389	-4.3309	1.5e-05
31	-0.412006	-4.7156	3e-06
32	-0.452968	-5.1845	0
33	-0.476675	-5.4558	0
34	-0.479	-5.4824	0
35	-0.435245	-4.9816	1e-06
36	-0.407469	-4.6637	4e-06
37	-0.454201	-5.1986	0
38	-0.499123	-5.7127	0
39	-0.504706	-5.7766	0
40	-0.488232	-5.5881	0
41	-0.454336	-5.2001	0
42	-0.438656	-5.0207	1e-06
43	-0.444233	-5.0845	1e-06
44	-0.459388	-5.2579	0
45	-0.462152	-5.2896	0
46	-0.443456	-5.0756	1e-06
47	-0.387787	-4.4384	1e-05
48	-0.343472	-3.9312	6.8e-05

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.926975	10.6097	0
2	-0.095396	-1.0919	0.13845
3	0.276571	3.1655	0.000963
4	0.147298	1.6859	0.047098
5	0.175605	2.0099	0.023248
6	-0.087052	-0.9964	0.160456
7	-0.181594	-2.0784	0.019811
8	-0.267132	-3.0575	0.001353
9	-0.10655	-1.2195	0.11242
10	-0.114698	-1.3128	0.095776
11	0.32713	3.7442	0.000135
12	0.001665	0.0191	0.492414
13	-0.538178	-6.1597	0
14	-0.027624	-0.3162	0.37619
15	-0.006197	-0.0709	0.47178
16	-0.045314	-0.5186	0.302442
17	0.003404	0.039	0.484493
18	-0.011866	-0.1358	0.44609
19	0.00346	0.0396	0.484234
20	0.000993	0.0114	0.495474
21	0.024061	0.2754	0.391723
22	-0.01003	-0.1148	0.454389
23	0.094553	1.0822	0.140575
24	-0.065005	-0.744	0.229099
25	-0.232364	-2.6595	0.004401
26	-0.013567	-0.1553	0.438418
27	0.162447	1.8593	0.032615
28	-0.117922	-1.3497	0.089724
29	0.053321	0.6103	0.271365
30	-0.020018	-0.2291	0.409568
31	0.125072	1.4315	0.077332
32	0.010137	0.116	0.453906
33	0.031907	0.3652	0.357778
34	-0.07188	-0.8227	0.206086
35	0.012979	0.1486	0.441068
36	-0.063213	-0.7235	0.235331
37	-0.095857	-1.0971	0.137298
38	-0.084381	-0.9658	0.167967
39	-0.088243	-1.01	0.157181
40	-0.083386	-0.9544	0.17082
41	0.048882	0.5595	0.288396
42	-0.056375	-0.6452	0.259948
43	0.043228	0.4948	0.310795
44	-0.064711	-0.7407	0.230115
45	-0.00618	-0.0707	0.47186
46	0.002794	0.032	0.487271
47	-0.057156	-0.6542	0.25707
48	0.070084	0.8021	0.211961

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/21/t12929593498xde18836whbtss/19jqm1292959465.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t12929593498xde18836whbtss/19jqm1292959465.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t12929593498xde18836whbtss/29jqm1292959465.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/21/t12929593498xde18836whbtss/29jqm1292959465.ps (open in new window)

Parameters (Session):

par1 = multiplicative ; par2 = 12 ;

Parameters (R input):

par1 = 48 ; 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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