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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: Sat, 13 Dec 2008 09:05:24 -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/13/t1229184366swi0aynpmmen7yp.htm/, Retrieved Sat, 13 Dec 2008 17:06:08 +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/2008/Dec/13/t1229184366swi0aynpmmen7yp.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18594.6 19823.1 20844.4 19640.2 17735.4 19813.6 22160 20664.3 17877.4 21211.2 21423.1 21688.7 23243.2 21490.2 22925.8 23184.8 18562.2

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.014984	-0.0911	0.463934
2	0.197528	1.2015	0.118593
3	0.28306	1.7218	0.04673
4	0.073769	0.4487	0.328125
5	0.091292	0.5553	0.291014
6	0.106938	0.6505	0.259702
7	-0.133837	-0.8141	0.210398
8	0.060582	0.3685	0.357298
9	0.007763	0.0472	0.481295
10	0.043241	0.263	0.396994
11	-0.119023	-0.724	0.236814
12	-0.092589	-0.5632	0.288349
13	0.018247	0.111	0.456111
14	-0.096162	-0.5849	0.281072
15	0.047807	0.2908	0.386414
16	-0.112841	-0.6864	0.248375
17	-0.075156	-0.4572	0.325115
18	0.081083	0.4932	0.312391
19	0.034546	0.2101	0.417357
20	-0.066706	-0.4058	0.343629
21	0.09703	0.5902	0.279319
22	-0.115808	-0.7044	0.242787
23	0.062532	0.3804	0.352924
24	-0.110947	-0.6749	0.251978
25	-0.031294	-0.1904	0.425036
26	-0.09604	-0.5842	0.28132
27	-0.107142	-0.6517	0.259306
28	-0.061422	-0.3736	0.355411
29	-0.103118	-0.6272	0.267175
30	-0.14084	-0.8567	0.198564
31	-0.075476	-0.4591	0.324423
32	-0.09946	-0.605	0.274438
33	-0.046513	-0.2829	0.389405
34	-0.001675	-0.0102	0.495963
35	-0.020594	-0.1253	0.450493
36	0.01621	0.0986	0.460994
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
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	-0.014984	-0.0911	0.463934
2	0.197347	1.2004	0.118803
3	0.300147	1.8257	0.037986
4	0.06719	0.4087	0.342557
5	-0.016375	-0.0996	0.460599
6	0.000668	0.0041	0.498389
7	-0.206616	-1.2568	0.108352
8	-0.020101	-0.1223	0.451674
9	0.041997	0.2555	0.399891
10	0.151694	0.9227	0.181066
11	-0.115554	-0.7029	0.243263
12	-0.177444	-1.0793	0.143709
13	0.002755	0.0168	0.49336
14	-0.024355	-0.1481	0.441517
15	0.160213	0.9745	0.168059
16	-0.055425	-0.3371	0.36896
17	-0.059348	-0.361	0.360077
18	0.016989	0.1033	0.459126
19	0.086848	0.5283	0.30023
20	-0.006883	-0.0419	0.483415
21	0.062085	0.3777	0.353924
22	-0.121486	-0.739	0.232293
23	-0.061242	-0.3725	0.355816
24	-0.179584	-1.0924	0.140867
25	0.024232	0.1474	0.441809
26	0.031165	0.1896	0.425341
27	-0.059395	-0.3613	0.35997
28	-0.08076	-0.4912	0.313077
29	-0.114991	-0.6995	0.244319
30	-0.030656	-0.1865	0.426547
31	-0.025226	-0.1534	0.439442
32	0.061879	0.3764	0.354387
33	0.024103	0.1466	0.442117
34	0.039226	0.2386	0.406366
35	0.037806	0.23	0.409692
36	-0.031478	-0.1915	0.424601
37	NA	NA	NA
38	NA	NA	NA
39	NA	NA	NA
40	NA	NA	NA
41	NA	NA	NA
42	NA	NA	NA
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://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229184366swi0aynpmmen7yp/1ttgj1229184322.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229184366swi0aynpmmen7yp/1ttgj1229184322.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229184366swi0aynpmmen7yp/2qahv1229184322.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/13/t1229184366swi0aynpmmen7yp/2qahv1229184322.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 2 ; 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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