Home » date » 2008 » Dec » 19 »

acf prof bach L = 1 , 0,0

*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: Fri, 19 Dec 2008 08:35:04 -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/19/t1229700993e0ldwct6hhtoxjo.htm/, Retrieved Fri, 19 Dec 2008 16:36:35 +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/19/t1229700993e0ldwct6hhtoxjo.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 «

13363 12530 11420 10948 10173 10602 16094 19631 17140 14345 12632 12894 11808 10673 9939 9890 9283 10131 15864 19283 16203 13919 11937 11795 11268 10522 9929 9725 9372 10068 16230 19115 18351 16265 14103 14115 13327 12618 12129 11775 11493 12470 20792 22337 21325 18581 16475 16581 15745 14453 13712 13766 13336 15346 24446 26178 24628 21282 18850 18822 18060 17536 16417 15842 15188 16905 25430 27962 26607 23364 20827 20506 19181 18016 17354 16256 15770 17538 26899 28915 25247 22856 19980 19856 16994 16839 15618 15883 15513 17106 25272 26731 22891 19583 16939 16757 15435 14786 13680 13208 12707 14277 22436 23229 18241 16145 13994 14780 13100 12329 12463 11532 10784 13106 19491 20418 16094 14491 13067

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	0.818228	8.9258	0
2	0.503416	5.4916	0
3	0.258159	2.8162	0.002845
4	0.12866	1.4035	0.081534
5	0.073174	0.7982	0.213164
6	0.04075	0.4445	0.328735
7	0.064071	0.6989	0.24298
8	0.116877	1.275	0.102401
9	0.2355	2.569	0.005717
10	0.450274	4.9119	1e-06
11	0.714529	7.7946	0
12	0.843482	9.2013	0
13	0.651643	7.1086	0
14	0.347585	3.7917	0.000118
15	0.114604	1.2502	0.106843
16	-0.013019	-0.142	0.443651
17	-0.066821	-0.7289	0.233739
18	-0.100071	-1.0916	0.138598
19	-0.083737	-0.9135	0.181422
20	-0.039779	-0.4339	0.332561
21	0.063592	0.6937	0.24461
22	0.25506	2.7824	0.003139
23	0.480743	5.2443	0
24	0.573983	6.2614	0
25	0.387379	4.2258	2.3e-05
26	0.110088	1.2009	0.116085
27	-0.094665	-1.0327	0.151924
28	-0.206351	-2.251	0.01311
29	-0.253547	-2.7659	0.003292
30	-0.282548	-3.0822	0.001277
31	-0.264162	-2.8817	0.002347
32	-0.222008	-2.4218	0.008476
33	-0.126156	-1.3762	0.085673
34	0.047414	0.5172	0.30298
35	0.24301	2.6509	0.00456
36	0.313897	3.4242	0.000423
37	0.142231	1.5516	0.061711
38	-0.099164	-1.0818	0.140775
39	-0.265847	-2.9001	0.002222
40	-0.349122	-3.8085	0.000111
41	-0.375939	-4.101	3.8e-05
42	-0.389831	-4.2526	2.1e-05
43	-0.364994	-3.9816	5.9e-05
44	-0.324663	-3.5417	0.000284
45	-0.235443	-2.5684	0.005727
46	-0.081473	-0.8888	0.18796
47	0.087542	0.955	0.170765
48	0.14497	1.5814	0.058216
49	0.004134	0.0451	0.482055
50	-0.189595	-2.0682	0.020392
51	-0.315012	-3.4364	0.000406
52	-0.372769	-4.0664	4.3e-05
53	-0.385258	-4.2027	2.6e-05
54	-0.385134	-4.2013	2.6e-05
55	-0.354495	-3.8671	9e-05
56	-0.313718	-3.4223	0.000426
57	-0.236686	-2.5819	0.005519
58	-0.106928	-1.1665	0.122882
59	0.035936	0.392	0.347875
60	0.086427	0.9428	0.173844

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.818228	8.9258	0
2	-0.502513	-5.4818	0
3	0.204134	2.2268	0.01392
4	-0.01233	-0.1345	0.446615
5	-0.010778	-0.1176	0.453303
6	-0.025732	-0.2807	0.389715
7	0.215778	2.3539	0.010109
8	-0.056757	-0.6191	0.268503
9	0.396617	4.3266	1.6e-05
10	0.387139	4.2232	2.4e-05
11	0.516105	5.63	0
12	-0.028229	-0.3079	0.379331
13	-0.658696	-7.1855	0
14	0.21405	2.335	0.010609
15	-0.176785	-1.9285	0.028088
16	-0.224225	-2.446	0.007954
17	0.052113	0.5685	0.285389
18	-0.109631	-1.1959	0.11705
19	-0.182112	-1.9866	0.024632
20	-0.102924	-1.1228	0.131898
21	-0.037188	-0.4057	0.342857
22	-0.064635	-0.7051	0.241067
23	-0.101773	-1.1102	0.134572
24	0.019242	0.2099	0.417051
25	0.011754	0.1282	0.449094
26	-0.020384	-0.2224	0.412206
27	0.054144	0.5906	0.277939
28	-0.00152	-0.0166	0.493399
29	-0.060741	-0.6626	0.254431
30	0.048278	0.5266	0.29971
31	0.03833	0.4181	0.338302
32	-0.102233	-1.1152	0.133499
33	0.056375	0.615	0.269871
34	-0.060454	-0.6595	0.255432
35	-0.048744	-0.5317	0.297952
36	-0.002646	-0.0289	0.488509
37	-0.01302	-0.142	0.443647
38	0.003559	0.0388	0.484548
39	0.029272	0.3193	0.375024
40	0.033995	0.3708	0.355707
41	0.071346	0.7783	0.218969
42	-0.021854	-0.2384	0.405992
43	0.022613	0.2467	0.402791
44	-0.034342	-0.3746	0.354303
45	0.01812	0.1977	0.421821
46	-0.122164	-1.3327	0.092596
47	0.060882	0.6641	0.253942
48	-0.034001	-0.3709	0.355683
49	0.140494	1.5326	0.064014
50	-0.107732	-1.1752	0.121128
51	0.044687	0.4875	0.313409
52	-0.032276	-0.3521	0.362697
53	-0.039008	-0.4255	0.335612
54	0.032306	0.3524	0.362573
55	0.030117	0.3285	0.371542
56	-0.023902	-0.2607	0.397373
57	-0.085782	-0.9358	0.175643
58	-0.023974	-0.2615	0.39707
59	0.018141	0.1979	0.421731
60	-0.050783	-0.554	0.290318

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700993e0ldwct6hhtoxjo/1qbv41229700902.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700993e0ldwct6hhtoxjo/1qbv41229700902.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700993e0ldwct6hhtoxjo/2lx3q1229700902.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229700993e0ldwct6hhtoxjo/2lx3q1229700902.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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