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ACFKoffied1D1

*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, 24 Dec 2010 10:09:53 +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/24/t12931852827mfglsgw5rrms9v.htm/, Retrieved Fri, 24 Dec 2010 11:08:04 +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/24/t12931852827mfglsgw5rrms9v.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 «

1.64 1.65 1.65 1.65 1.66 1.66 1.67 1.67 1.68 1.68 1.68 1.68 1.69 1.69 1.7 1.7 1.71 1.71 1.71 1.71 1.72 1.72 1.72 1.73 1.73 1.73 1.74 1.75 1.75 1.76 1.76 1.77 1.77 1.78 1.79 1.8 1.8 1.81 1.81 1.81 1.81 1.82 1.82 1.82 1.83 1.83 1.83 1.84 1.84 1.85 1.85 1.86 1.86 1.86 1.86 1.86

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	-0.286057	-1.8758	0.033741
2	-0.00116	-0.0076	0.496982
3	-7.7e-05	-5e-04	0.499799
4	0.238256	1.5623	0.062768
5	-0.33494	-2.1964	0.016754
6	0.047517	0.3116	0.378429
7	0.238179	1.5618	0.062828
8	0.095137	0.6239	0.268008
9	-0.333935	-2.1898	0.017007
10	0.048523	0.3182	0.375943
11	0.096169	0.6306	0.265813
12	-0.285232	-1.8704	0.034123
13	-0.04579	-0.3003	0.382712
14	0.0972	0.6374	0.263627
15	0.143737	0.9425	0.175589
16	-0.331898	-2.1764	0.017532
17	0.144795	0.9495	0.173841
18	-0.04481	-0.2938	0.385147
19	-0.047053	-0.3085	0.379578
20	-0.04597	-0.3014	0.382263
21	0.143583	0.9415	0.175845
22	-0.001676	-0.011	0.495641
23	-0.050482	-0.331	0.371114
24	-0.097071	-0.6365	0.2639
25	0.091373	0.5992	0.2761
26	-0.050559	-0.3315	0.370923
27	-0.002913	-0.0191	0.492423
28	0.093513	0.6132	0.271485
29	-0.002965	-0.0194	0.492289
30	0.044681	0.293	0.385468
31	-0.097252	-0.6377	0.263518
32	-0.001934	-0.0127	0.494971
33	-0.001959	-0.0128	0.494904
34	-0.000877	-0.0057	0.49772
35	0.046769	0.3067	0.380281
36	-0.000928	-0.0061	0.497586
37	0.046718	0.3063	0.380408
38	-0.047543	-0.3118	0.378365
39	-0.048677	-0.3192	0.375561
40	0.046641	0.3058	0.3806
41	5.2e-05	3e-04	0.499866
42	-0.001083	-0.0071	0.497184
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	-0.286057	-1.8758	0.033741
2	-0.090385	-0.5927	0.278246
3	-0.028874	-0.1893	0.42536
4	0.252615	1.6565	0.05245
5	-0.222372	-1.4582	0.076027
6	-0.104908	-0.6879	0.247596
7	0.24641	1.6158	0.056724
8	0.241613	1.5844	0.06022
9	-0.204464	-1.3408	0.093519
10	-0.267634	-1.755	0.043192
11	-0.025898	-0.1698	0.432971
12	-0.171291	-1.1232	0.133787
13	-0.028438	-0.1865	0.426471
14	-0.13422	-0.8801	0.191838
15	0.064882	0.4255	0.336312
16	-0.086352	-0.5662	0.287085
17	0.054373	0.3565	0.361588
18	-0.102489	-0.6721	0.252568
19	-0.082658	-0.542	0.295299
20	0.210277	1.3789	0.087532
21	-0.047547	-0.3118	0.378355
22	-0.105027	-0.6887	0.247354
23	-0.081557	-0.5348	0.29777
24	-0.14994	-0.9832	0.1655
25	-0.049542	-0.3249	0.373429
26	0.010924	0.0716	0.471612
27	-0.009249	-0.0607	0.475959
28	-0.045191	-0.2963	0.3842
29	0.007858	0.0515	0.479573
30	0.091195	0.598	0.276487
31	-0.008439	-0.0553	0.478063
32	-0.118079	-0.7743	0.221496
33	-0.045444	-0.298	0.38357
34	-0.094964	-0.6227	0.268378
35	0.040419	0.265	0.39612
36	-0.068996	-0.4524	0.326615
37	-0.07471	-0.4899	0.313346
38	0.001706	0.0112	0.495563
39	0.047465	0.3112	0.378558
40	0.050486	0.3311	0.371104
41	-0.068076	-0.4464	0.328773
42	-0.01083	-0.071	0.471856
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/24/t12931852827mfglsgw5rrms9v/1rqac1293185391.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t12931852827mfglsgw5rrms9v/1rqac1293185391.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t12931852827mfglsgw5rrms9v/22zax1293185391.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t12931852827mfglsgw5rrms9v/22zax1293185391.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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