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ARMA proces WS5 Q2: ACF

*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: Mon, 08 Dec 2008 11:50:21 -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/08/t1228762271n3a3cr011pq7xiz.htm/, Retrieved Mon, 08 Dec 2008 18:51:11 +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/08/t1228762271n3a3cr011pq7xiz.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)

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2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

ARMA proces WS5 Q2: ACF

Dataseries X:

» Textbox « » Textfile « » CSV «

235.1 280.7 264.6 240.7 201.4 240.8 241.1 223.8 206.1 174.7 203.3 220.5 299.5 347.4 338.3 327.7 351.6 396.6 438.8 395.6 363.5 378.8 357 369 464.8 479.1 431.3 366.5 326.3 355.1 331.6 261.3 249 205.5 235.6 240.9 264.9 253.8 232.3 193.8 177 213.2 207.2 180.6 188.6 175.4 199 179.6 225.8 234 200.2 183.6 178.2 203.2 208.5 191.8 172.8 148 159.4 154.5 213.2 196.4 182.8 176.4 153.6 173.2 171 151.2 161.9 157.2 201.7 236.4 356.1 398.3 403.7 384.6 365.8 368.1 367.9 347 343.3 292.9 311.5 300.9 366.9 356.9 329.7 316.2 269 289.3 266.2 253.6 233.8 228.4 253.6 260.1 306.6 309.2 309.5 271 279.9 317.9 298.4 246.7 227.3 209.1 259.9 266 320.6 308.5 282.2 262.7 263.5 313.1 284.3 252.6 250.3 246.5 312.7 333.2 446.4 511.6 515.5 506.4 483.2 522.3 509.8 460.7 405.8 375 378.5 406.8 467.8 469.8 429.8 355.8 332.7 378 360.5 334.7 319.5 323.1 363.6 352.1 411.9 388.6 416.4 360.7 338 417.2 388.4 371.1 331.5 353.7 396.7 447 533.5 565.4 542.3 488.7 467.1 531.3 496.1 444 403.4 386.3 394.1 404.1 462.1 448.1 432.3 386.3 395.2 421.9 382.9 384.2 345.5 323.4 372.6 376 462.7 487 444.2 399.3 394.9 455.4 414 375.5 347 339.4 385.8 378.8 451.8 446.1 422.5 383.1 352.8 445.3 367.5 355.1 326.2 319.8 331.8 340.9 394.1 417.2 369.9 349.2 321.4 405.7 342.9 316.5 284.2 270.9 288.8 278.8 324.4 310.9 299 273 279.3 359.2 305 282.1 250.3 246.5 257.9 266.5 315.9 318.4 295.4 266.4 245.8 362.8 324.9 294.2 289.5 295.2 290.3 272 307.4 328.7 292.9 249.1 230.4 361.5 321.7 277.2 260.7 251 257.6 241.8 287.5 292.3 274.7 254.2 230 339 318.2 287 295.8 284 271 262.7 340.6 379.4 373.3 355.2 338.4 466.9 451 422 429.2 425.9 460.7 463.6 541.4 544.2 517.5 469.4 439.4 549 533 506.1 484 457 481.5 469.5 544.7 541.2 521.5 469.7 434.4 542.6 517.3 485.7 465.8 447 426.6 411.6 467.5 484.5 451.2 417.4 379.9 484.7 455 420.8 416.5 376.3 405.6 405.8 500.8 514 475.5 430.1 414.4 538 526 488.5 520.2 504.4 568.5 610.6 818 830.9 835.9 782 762.3 856.9 820.9 769.6 752.2 724.4 723.1 719.5 817.4 803.3 752.5 689 630.4 765.5 757.7 732.2 702.6 683.3 709.5 702.2 784.8 810.9 755.6 656.8 615.1 745.3 694.1 675.7 643.7 622.1 634.6 588 689.7 673.9 647.9 568.8 545.7 632.6 643.8 593.1 579.7 546 562.9 572.5

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.953029	18.3814	0
2	0.905905	17.4725	0
3	0.866941	16.721	0
4	0.848243	16.3603	0
5	0.836163	16.1273	0
6	0.803428	15.496	0
7	0.780384	15.0515	0
8	0.739074	14.2547	0
9	0.707557	13.6469	0
10	0.697309	13.4492	0
11	0.701438	13.5288	0
12	0.705868	13.6143	0
13	0.650143	12.5395	0
14	0.597708	11.5282	0
15	0.559117	10.7839	0
16	0.54447	10.5014	0
17	0.542013	10.454	0
18	0.524014	10.1068	0
19	0.518523	10.0009	0
20	0.494943	9.5461	0
21	0.481482	9.2865	0
22	0.490365	9.4578	0
23	0.50954	9.8276	0
24	0.5309	10.2396	0
25	0.492619	9.5013	0
26	0.455254	8.7806	0
27	0.429115	8.2765	0
28	0.423471	8.1676	0
29	0.425696	8.2105	0
30	0.410565	7.9187	0
31	0.405184	7.8149	0
32	0.381224	7.3528	0
33	0.369199	7.1208	0
34	0.37554	7.2432	0
35	0.393157	7.5829	0
36	0.413239	7.9703	0
37	0.375261	7.2378	0
38	0.338776	6.5341	0
39	0.31205	6.0186	0
40	0.305489	5.8921	0
41	0.308277	5.9458	0
42	0.29606	5.7102	0
43	0.293788	5.6664	0
44	0.275055	5.3051	0
45	0.268229	5.1734	0
46	0.280951	5.4188	0
47	0.304677	5.8764	0
48	0.326404	6.2954	0
49	0.293376	5.6584	0
50	0.260131	5.0172	0
51	0.23558	4.5437	4e-06
52	0.22941	4.4247	6e-06
53	0.231022	4.4558	6e-06
54	0.214026	4.128	2.3e-05
55	0.206353	3.98	4.1e-05
56	0.180507	3.4815	0.000279
57	0.164755	3.1777	0.000804
58	0.164875	3.18	0.000798
59	0.173288	3.3423	0.000458
60	0.179908	3.4699	0.000291

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.953029	18.3814	0
2	-0.025716	-0.496	0.310095
3	0.064285	1.2399	0.107901
4	0.200462	3.8664	6.5e-05
5	0.073321	1.4142	0.079076
6	-0.203911	-3.9329	5e-05
7	0.154527	2.9804	0.001534
8	-0.232935	-4.4927	5e-06
9	0.043252	0.8342	0.202348
10	0.244823	4.722	2e-06
11	0.141231	2.724	0.003377
12	-0.026246	-0.5062	0.306502
13	-0.55096	-10.6265	0
14	0.041869	0.8075	0.209937
15	0.131743	2.541	0.00573
16	0.094142	1.8158	0.035107
17	0.147384	2.8426	0.00236
18	0.049	0.9451	0.172619
19	0.115029	2.2186	0.013559
20	-0.048429	-0.9341	0.175436
21	-0.001037	-0.02	0.492025
22	0.09784	1.8871	0.029964
23	-0.048905	-0.9432	0.173084
24	0.070517	1.3601	0.087315
25	-0.284097	-5.4795	0
26	-0.028151	-0.543	0.293741
27	0.047313	0.9125	0.181037
28	0.008299	0.1601	0.436455
29	-0.013165	-0.2539	0.399846
30	0.012514	0.2414	0.404702
31	0.04331	0.8353	0.202036
32	0.009995	0.1928	0.423617
33	0.080387	1.5504	0.060943
34	0.007466	0.144	0.442786
35	0.014953	0.2884	0.386598
36	0.057568	1.1103	0.133788
37	-0.202874	-3.9129	5.4e-05
38	-0.010231	-0.1973	0.421839
39	-0.001218	-0.0235	0.490634
40	-0.009231	-0.178	0.429394
41	0.030497	0.5882	0.278375
42	0.061244	1.1812	0.119133
43	0.023282	0.449	0.326832
44	0.023761	0.4583	0.323507
45	0.041724	0.8047	0.21074
46	0.028072	0.5414	0.294269
47	-0.00663	-0.1279	0.449155
48	-0.074431	-1.4356	0.075981
49	-0.095985	-1.8513	0.03246
50	-0.034802	-0.6712	0.251242
51	-0.006269	-0.1209	0.451913
52	-0.020787	-0.4009	0.344355
53	0.001233	0.0238	0.490523
54	-0.058007	-1.1188	0.131974
55	0.005324	0.1027	0.459133
56	-0.000266	-0.0051	0.497957
57	-0.030523	-0.5887	0.278209
58	-0.056019	-1.0805	0.14032
59	-0.018042	-0.348	0.364026
60	-0.033445	-0.6451	0.259642

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762271n3a3cr011pq7xiz/16lxj1228762215.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762271n3a3cr011pq7xiz/16lxj1228762215.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762271n3a3cr011pq7xiz/2g0tj1228762215.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762271n3a3cr011pq7xiz/2g0tj1228762215.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.0 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.0 ; 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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