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paper ACF d en D 1

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R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 18 Dec 2008 08:18:32 -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/18/t1229613556j2epz88ab3h3kkr.htm/, Retrieved Thu, 18 Dec 2008 16:19:16 +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/18/t1229613556j2epz88ab3h3kkr.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:

Severijns Britt

Dataseries X:

» Textbox « » Textfile « » CSV «

492865 480961 461935 456608 441977 439148 488180 520564 501492 485025 464196 460170 467037 460070 447988 442867 436087 431328 484015 509673 512927 502831 470984 471067 476049 474605 470439 461251 454724 455626 516847 525192 522975 518585 509239 512238 519164 517009 509933 509127 500857 506971 569323 579714 577992 565464 547344 554788 562325 560854 555332 543599 536662 542722 593530 610763 612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.019751	-0.1884	0.425488
2	-0.024666	-0.2353	0.407254
3	0.000207	0.002	0.499214
4	0.075193	0.7173	0.237514
5	0.079492	0.7583	0.225115
6	0.076362	0.7284	0.234105
7	0.016543	0.1578	0.437477
8	0.100001	0.9539	0.171319
9	0.107167	1.0223	0.154672
10	-0.065346	-0.6234	0.267302
11	-0.022417	-0.2138	0.415574
12	-0.2292	-2.1864	0.015675
13	0.005504	0.0525	0.479119
14	0.243618	2.324	0.011177
15	0.00314	0.03	0.488085
16	-0.00494	-0.0471	0.481258
17	-0.080159	-0.7647	0.223223
18	0.069304	0.6611	0.255104
19	0.071629	0.6833	0.248077
20	0.011867	0.1132	0.45506
21	0.058773	0.5607	0.288204
22	0.071375	0.6809	0.248839
23	0.186388	1.778	0.03937
24	-0.08758	-0.8355	0.202825
25	-0.117673	-1.1225	0.132296
26	-0.177121	-1.6896	0.047261
27	0.084066	0.8019	0.212338
28	-0.028237	-0.2694	0.394129
29	0.118392	1.1294	0.130852
30	-0.104087	-0.9929	0.161688
31	-0.091379	-0.8717	0.192833
32	0.021018	0.2005	0.420771
33	-0.098875	-0.9432	0.174037
34	-0.073935	-0.7053	0.241213
35	-0.032687	-0.3118	0.377946
36	0.036287	0.3462	0.365011
37	0.097332	0.9285	0.177806
38	0.107504	1.0255	0.153917
39	-0.137822	-1.3147	0.095951
40	-0.071359	-0.6807	0.248888
41	0.007628	0.0728	0.471077
42	-0.020708	-0.1975	0.42192
43	0.064906	0.6192	0.268677
44	-0.084827	-0.8092	0.210257
45	-0.064751	-0.6177	0.269162
46	0.005131	0.0489	0.480535
47	-0.147555	-1.4076	0.081331
48	-0.086714	-0.8272	0.205145
49	-0.09804	-0.9352	0.17607
50	0.024601	0.2347	0.407491
51	-0.02601	-0.2481	0.4023
52	-0.00323	-0.0308	0.487745
53	-0.148719	-1.4187	0.079703
54	0.013438	0.1282	0.449142
55	-0.084623	-0.8073	0.210814
56	0.001479	0.0141	0.494387
57	0.041986	0.4005	0.344856
58	-0.049009	-0.4675	0.320623
59	0.019347	0.1846	0.426992
60	0.015388	0.1468	0.441811

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.019751	-0.1884	0.425488
2	-0.025065	-0.2391	0.405779
3	-0.000788	-0.0075	0.497009
4	0.074639	0.712	0.239139
5	0.083055	0.7923	0.215126
6	0.084874	0.8096	0.210129
7	0.025569	0.2439	0.403923
8	0.101872	0.9718	0.166864
9	0.106292	1.014	0.156644
10	-0.0714	-0.6811	0.248765
11	-0.037847	-0.361	0.359455
12	-0.27311	-2.6053	0.005361
13	-0.065123	-0.6212	0.267999
14	0.220194	2.1005	0.019225
15	0.026747	0.2551	0.399592
16	0.062474	0.596	0.276339
17	-0.056396	-0.538	0.295951
18	0.08635	0.8237	0.206123
19	0.098657	0.9411	0.174566
20	0.034431	0.3285	0.371661
21	0.118357	1.1291	0.130922
22	-0.025235	-0.2407	0.405154
23	0.132519	1.2642	0.104702
24	-0.161857	-1.544	0.063027
25	-0.19437	-1.8542	0.033477
26	-0.16345	-1.5592	0.061208
27	-0.035501	-0.3387	0.367824
28	-0.104959	-1.0012	0.159682
29	0.109165	1.0414	0.150233
30	-0.020014	-0.1909	0.424505
31	0.031538	0.3008	0.382108
32	0.089943	0.858	0.196574
33	0.013855	0.1322	0.447572
34	0.003632	0.0347	0.486217
35	0.015301	0.146	0.442138
36	-0.042441	-0.4049	0.343264
37	-0.070191	-0.6696	0.252409
38	0.073697	0.703	0.241916
39	-0.068126	-0.6499	0.258703
40	-0.074836	-0.7139	0.238561
41	-0.051094	-0.4874	0.313572
42	-0.084368	-0.8048	0.211512
43	-0.017766	-0.1695	0.4329
44	-0.017154	-0.1636	0.435188
45	-0.043832	-0.4181	0.338418
46	0.009825	0.0937	0.462768
47	-0.054862	-0.5234	0.301001
48	0.016321	0.1557	0.438309
49	-0.028947	-0.2761	0.391534
50	0.049666	0.4738	0.318396
51	-0.028684	-0.2736	0.392494
52	-0.09509	-0.9071	0.183374
53	-0.029376	-0.2802	0.389969
54	0.049003	0.4675	0.320646
55	-0.036559	-0.3487	0.364041
56	-0.020895	-0.1993	0.421227
57	0.008783	0.0838	0.466705
58	-0.081301	-0.7756	0.220008
59	-0.051892	-0.495	0.310889
60	0.006889	0.0657	0.473875

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613556j2epz88ab3h3kkr/11pi61229613507.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613556j2epz88ab3h3kkr/11pi61229613507.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613556j2epz88ab3h3kkr/2nhsk1229613507.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613556j2epz88ab3h3kkr/2nhsk1229613507.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; 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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