Autocorrelation Function 3
| Summary of compuational transaction | |
| Raw Input | view raw input (R code) |
| Raw Output | view raw output of R engine |
| Computing time | 3 seconds |
| R Server | 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 |
| Autocorrelation Function | |||
| Time lag k | ACF(k) | T-STAT | P-value |
| 0 | 1 | 7.746 | 0 |
| 1 | 0.953261 | 7.3839 | 0 |
| 2 | 0.902707 | 6.9923 | 0 |
| 3 | 0.853038 | 6.6076 | 0 |
| 4 | 0.806346 | 6.2459 | 0 |
| 5 | 0.759939 | 5.8865 | 0 |
| 6 | 0.712422 | 5.5184 | 0 |
| 7 | 0.660498 | 5.1162 | 2e-06 |
| 8 | 0.605124 | 4.6873 | 8e-06 |
| 9 | 0.55498 | 4.2989 | 3.2e-05 |
| 10 | 0.511418 | 3.9614 | 1e-04 |
| 11 | 0.467048 | 3.6177 | 0.000305 |
| 12 | 0.419703 | 3.251 | 0.000944 |
| 13 | 0.367736 | 2.8485 | 0.003004 |
| 14 | 0.313477 | 2.4282 | 0.009095 |
| 15 | 0.265078 | 2.0533 | 0.022206 |
| 16 | 0.221004 | 1.7119 | 0.046041 |
| 17 | 0.180419 | 1.3975 | 0.083702 |
| 18 | 0.137742 | 1.0669 | 0.145136 |
| 19 | 0.092465 | 0.7162 | 0.238315 |
| 20 | 0.045733 | 0.3542 | 0.362198 |
| 21 | 0.003989 | 0.0309 | 0.487726 |
| 22 | -0.031445 | -0.2436 | 0.595803 |
| 23 | -0.063789 | -0.4941 | 0.688482 |
| 24 | -0.097538 | -0.7555 | 0.773554 |
| 25 | -0.134053 | -1.0384 | 0.848368 |
| 26 | -0.171472 | -1.3282 | 0.905432 |
| 27 | -0.205293 | -1.5902 | 0.941476 |
| 28 | -0.233768 | -1.8108 | 0.962407 |
| 29 | -0.258009 | -1.9985 | 0.974902 |
| 30 | -0.282896 | -2.1913 | 0.983838 |
| 31 | -0.309304 | -2.3959 | 0.990141 |
| 32 | -0.335918 | -2.602 | 0.994171 |
| 33 | -0.354095 | -2.7428 | 0.99599 |
| 34 | -0.365981 | -2.8349 | 0.996881 |
| 35 | -0.373588 | -2.8938 | 0.997351 |
| 36 | -0.381253 | -2.9532 | 0.997757 |
| 37 | -0.389043 | -3.0135 | 0.99811 |
| 38 | -0.396811 | -3.0737 | 0.99841 |
| 39 | -0.399474 | -3.0943 | 0.998503 |
| 40 | -0.400443 | -3.1018 | 0.998535 |
| 41 | -0.399258 | -3.0926 | 0.998495 |
| 42 | -0.398459 | -3.0865 | 0.998468 |
| 43 | -0.397891 | -3.0821 | 0.998448 |
| 44 | -0.396911 | -3.0745 | 0.998414 |
| 45 | -0.390083 | -3.0216 | 0.998153 |
| 46 | -0.377105 | -2.921 | 0.997545 |
| 47 | -0.359704 | -2.7863 | 0.996436 |
| Partial Autocorrelation Function | |||
| Time lag k | PACF(k) | T-STAT | P-value |
| 0 | 0.953261 | 7.3839 | 0 |
| 1 | -0.065723 | -0.5091 | 0.69372 |
| 2 | -0.015203 | -0.1178 | 0.546675 |
| 3 | 0.005119 | 0.0397 | 0.48425 |
| 4 | -0.025211 | -0.1953 | 0.577084 |
| 5 | -0.038206 | -0.2959 | 0.615851 |
| 6 | -0.074387 | -0.5762 | 0.716683 |
| 7 | -0.065876 | -0.5103 | 0.694134 |
| 8 | 0.024798 | 0.1921 | 0.424162 |
| 9 | 0.03304 | 0.2559 | 0.399442 |
| 10 | -0.044751 | -0.3466 | 0.634961 |
| 11 | -0.057927 | -0.4487 | 0.672368 |
| 12 | -0.076245 | -0.5906 | 0.721494 |
| 13 | -0.058675 | -0.4545 | 0.674444 |
| 14 | 0.019957 | 0.1546 | 0.438833 |
| 15 | -0.006293 | -0.0487 | 0.519359 |
| 16 | -0.001502 | -0.0116 | 0.504622 |
| 17 | -0.047062 | -0.3645 | 0.641633 |
| 18 | -0.054781 | -0.4243 | 0.663578 |
| 19 | -0.05474 | -0.424 | 0.663463 |
| 20 | 0.000548 | 0.0042 | 0.498315 |
| 21 | 0.00976 | 0.0756 | 0.469996 |
| 22 | -0.008347 | -0.0647 | 0.52567 |
| 23 | -0.039965 | -0.3096 | 0.621018 |
| 24 | -0.055536 | -0.4302 | 0.665697 |
| 25 | -0.048698 | -0.3772 | 0.646326 |
| 26 | -0.020023 | -0.1551 | 0.561367 |
| 27 | -0.006638 | -0.0514 | 0.520418 |
| 28 | -0.000752 | -0.0058 | 0.502314 |
| 29 | -0.033946 | -0.2629 | 0.603253 |
| 30 | -0.038861 | -0.301 | 0.617779 |
| 31 | -0.042698 | -0.3307 | 0.629001 |
| 32 | 0.034994 | 0.2711 | 0.393638 |
| 33 | 0.004242 | 0.0329 | 0.486948 |
| 34 | 0.003578 | 0.0277 | 0.488992 |
| 35 | -0.020404 | -0.158 | 0.562524 |
| 36 | -0.013742 | -0.1064 | 0.542207 |
| 37 | -0.027767 | -0.2151 | 0.584784 |
| 38 | 0.005776 | 0.0447 | 0.482232 |
| 39 | -0.041194 | -0.3191 | 0.624616 |
| 40 | -0.012065 | -0.0935 | 0.537074 |
| 41 | -0.016025 | -0.1241 | 0.549185 |
| 42 | -0.013374 | -0.1036 | 0.541083 |
| 43 | -0.021726 | -0.1683 | 0.566539 |
| 44 | 0.019909 | 0.1542 | 0.438981 |
| 45 | 0.018478 | 0.1431 | 0.443335 |
| 46 | 0.02664 | 0.2064 | 0.418606 |
| 47 | 0.01294 | 0.1002 | 0.460248 |
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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 (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='lags',ylab='ACF')
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 1:par1) {
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(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-1,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(mytstat,lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')
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