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ACF Q2

*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: Sun, 07 Dec 2008 06:20:49 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/07/t12286561034vxisomspi42eh4.htm/, Retrieved Sun, 07 Dec 2008 13:21:43 +0000

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/2008/Dec/07/t12286561034vxisomspi42eh4.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

19 23 22 23 25 25 23 22 21 16 21 21 26 23 22 22 22 12 20 18 23 25 28 28 29 31 33 32 33 35 33 36 30 34 34 35 33 28 27 23 23 24 24 20 16 6 2 12 19 21 22 20 21 20 19 17 17 17 16 12 11 7 2 9 11 10 7 9 15 5 14 14 17 19 17 16 14 20 16 18 18 14 13 14 14 17 18 15 9 9 9 10 6 12 11 15 19 18 15 16 14 18 18 18 18 22 21 12 19 21 19 22 22 21 19 18 18 19 12 16

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	1 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.889506	9.7441	0
2	0.816718	8.9467	0
3	0.732077	8.0195	0
4	0.665857	7.2941	0
5	0.611935	6.7034	0
6	0.577269	6.3237	0
7	0.537609	5.8892	0
8	0.478906	5.2462	0
9	0.413458	4.5292	7e-06
10	0.345303	3.7826	0.000122
11	0.286393	3.1373	0.001073
12	0.243622	2.6687	0.004333
13	0.225886	2.4745	0.007371
14	0.210896	2.3102	0.011291
15	0.209492	2.2949	0.011739
16	0.189793	2.0791	0.01987
17	0.167439	1.8342	0.034551
18	0.158464	1.7359	0.042575
19	0.162701	1.7823	0.038615
20	0.154857	1.6964	0.046204

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.889506	9.7441	0
2	0.122125	1.3378	0.091745
3	-0.069572	-0.7621	0.22374
4	0.028088	0.3077	0.379426
5	0.04607	0.5047	0.307357
6	0.07653	0.8383	0.201753
7	-0.016843	-0.1845	0.426962
8	-0.119194	-1.3057	0.097075
9	-0.081234	-0.8899	0.187657
10	-0.050593	-0.5542	0.290229
11	-0.007741	-0.0848	0.466281
12	0.028975	0.3174	0.375743
13	0.085524	0.9369	0.175355
14	0.024426	0.2676	0.394743
15	0.072282	0.7918	0.215017
16	-0.039213	-0.4296	0.334145
17	-0.023678	-0.2594	0.397895
18	0.073514	0.8053	0.211118
19	0.070583	0.7732	0.220464
20	-0.073005	-0.7997	0.212723

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286561034vxisomspi42eh4/17xmf1228656044.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286561034vxisomspi42eh4/17xmf1228656044.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286561034vxisomspi42eh4/2b29j1228656044.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t12286561034vxisomspi42eh4/2b29j1228656044.ps (open in new window)

Parameters (Session):

par1 = Default ; par2 = 1.3 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = Default ; par2 = 1.3 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

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 (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 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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