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ACFKoffie2d1

*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 10:21:46 +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/t1293186058wgweoxs7db7z42q.htm/, Retrieved Fri, 24 Dec 2010 11:20:58 +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/t1293186058wgweoxs7db7z42q.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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.227081	1.6841	0.048917
2	0.064755	0.4802	0.316481
3	0.09296	0.6894	0.246732
4	-0.120291	-0.8921	0.188113
5	-0.052912	-0.3924	0.348136
6	-0.019485	-0.1445	0.442817
7	-0.150585	-1.1168	0.134475
8	-0.098138	-0.7278	0.234909
9	-0.039389	-0.2921	0.385648
10	-0.08533	-0.6328	0.264736
11	0.008448	0.0627	0.475136
12	0.067878	0.5034	0.308348
13	0.094493	0.7008	0.243198
14	0.016135	0.1197	0.452594
15	-0.056546	-0.4194	0.338295
16	-0.051277	-0.3803	0.3526
17	-0.06253	-0.4637	0.322334
18	-0.0974	-0.7223	0.236574
19	-0.073339	-0.5439	0.294354
20	-0.067162	-0.4981	0.310203
21	-0.120824	-0.8961	0.187064
22	-0.043057	-0.3193	0.375348
23	-0.002135	-0.0158	0.493713
24	-0.00805	-0.0597	0.476304
25	0.19371	1.4366	0.07825
26	0.217145	1.6104	0.056518
27	0.095356	0.7072	0.241221
28	0.013591	0.1008	0.460039
29	-0.043761	-0.3245	0.373381
30	0.004372	0.0324	0.487127
31	-0.118894	-0.8817	0.190877
32	-0.114023	-0.8456	0.200715
33	0.021142	0.1568	0.43799
34	-0.06999	-0.5191	0.302901
35	-0.082491	-0.6118	0.271605
36	-0.023515	-0.1744	0.431098
37	-0.090008	-0.6675	0.253617
38	0.034938	0.2591	0.39826
39	0.113387	0.8409	0.202022
40	0.0176	0.1305	0.448315
41	-0.06672	-0.4948	0.311354
42	-0.021596	-0.1602	0.436669
43	-0.105973	-0.7859	0.217646
44	-0.133689	-0.9915	0.1629
45	-0.070001	-0.5191	0.302872
46	-0.035608	-0.2641	0.396354
47	-0.125037	-0.9273	0.178912
48	-0.040513	-0.3005	0.382482

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.227081	1.6841	0.048917
2	0.013907	0.1031	0.459115
3	0.079411	0.5889	0.279159
4	-0.168514	-1.2497	0.108345
5	0.007224	0.0536	0.478734
6	-0.009899	-0.0734	0.470873
7	-0.125262	-0.929	0.178482
8	-0.055387	-0.4108	0.341423
9	-0.0052	-0.0386	0.484687
10	-0.052473	-0.3892	0.349333
11	0.018552	0.1376	0.445536
12	0.046794	0.347	0.364946
13	0.082676	0.6131	0.271156
14	-0.069134	-0.5127	0.305104
15	-0.085967	-0.6376	0.263206
16	-0.030512	-0.2263	0.410909
17	-0.034352	-0.2548	0.399928
18	-0.082389	-0.611	0.271854
19	-0.04098	-0.3039	0.38117
20	-0.022474	-0.1667	0.434121
21	-0.100165	-0.7428	0.230368
22	-0.026785	-0.1986	0.421637
23	-0.001049	-0.0078	0.496911
24	-0.027539	-0.2042	0.419463
25	0.150069	1.1129	0.135287
26	0.120241	0.8917	0.188211
27	0.017387	0.1289	0.448934
28	-0.091054	-0.6753	0.251165
29	-0.050841	-0.377	0.353794
30	0.068696	0.5095	0.306232
31	-0.152358	-1.1299	0.131707
32	-0.054359	-0.4031	0.344205
33	0.12011	0.8908	0.18847
34	-0.032936	-0.2443	0.40397
35	-0.09922	-0.7358	0.23248
36	-0.045694	-0.3389	0.367996
37	-0.067307	-0.4992	0.309828
38	-0.020195	-0.1498	0.440747
39	0.013368	0.0991	0.460693
40	0.040804	0.3026	0.381664
41	-0.110782	-0.8216	0.207431
42	-0.034007	-0.2522	0.400913
43	-0.071889	-0.5331	0.298042
44	-0.092228	-0.684	0.248429
45	-0.081605	-0.6052	0.273768
46	0.027644	0.205	0.419159
47	-0.111286	-0.8253	0.206378
48	-0.040722	-0.302	0.381896

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/24/t1293186058wgweoxs7db7z42q/1nkje1293186102.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t1293186058wgweoxs7db7z42q/1nkje1293186102.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t1293186058wgweoxs7db7z42q/2nkje1293186102.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/24/t1293186058wgweoxs7db7z42q/2nkje1293186102.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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