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acf lambda = 1,1,1

*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 08:45:45 -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/t1229701583x5u9fxihxrdbmtc.htm/, Retrieved Fri, 19 Dec 2008 16:46:23 +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/t1229701583x5u9fxihxrdbmtc.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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.149928	-1.5436	0.062833
2	0.029169	0.3003	0.382262
3	-0.172716	-1.7782	0.039117
4	-0.01756	-0.1808	0.428437
5	-0.078236	-0.8055	0.211171
6	-0.036127	-0.372	0.355335
7	0.053352	0.5493	0.291979
8	-0.052499	-0.5405	0.294989
9	0.155356	1.5995	0.056344
10	0.075677	0.7791	0.218817
11	0.156569	1.612	0.05497
12	-0.144999	-1.4929	0.069222
13	0.055806	0.5746	0.283405
14	0.055646	0.5729	0.283958
15	-0.012984	-0.1337	0.446957
16	-0.111572	-1.1487	0.126631
17	-0.009494	-0.0977	0.461159
18	0.048794	0.5024	0.308226
19	-0.037051	-0.3815	0.351811
20	0.105684	1.0881	0.139512
21	0.039425	0.4059	0.342814
22	0.020479	0.2108	0.416707
23	-0.008058	-0.083	0.467021
24	0.049118	0.5057	0.307057
25	-0.050823	-0.5233	0.300945
26	-0.085094	-0.8761	0.19148
27	-0.036542	-0.3762	0.353753
28	0.088141	0.9075	0.183108
29	0.010059	0.1036	0.458857
30	-0.052508	-0.5406	0.294959
31	-0.058711	-0.6045	0.273411
32	0.046777	0.4816	0.315543
33	-0.123917	-1.2758	0.102407
34	0.061414	0.6323	0.264278
35	0.090268	0.9294	0.177404
36	0.016366	0.1685	0.433254
37	0.01886	0.1942	0.423205
38	-0.197225	-2.0306	0.022402
39	0.037346	0.3845	0.35069
40	-0.0644	-0.663	0.254372
41	0.055662	0.5731	0.283903
42	-0.079422	-0.8177	0.207681
43	0.055314	0.5695	0.285113
44	-0.050939	-0.5244	0.300532
45	0.041697	0.4293	0.334291
46	0.080149	0.8252	0.20556
47	-0.091513	-0.9422	0.174121
48	-0.129722	-1.3356	0.092276
49	0.023754	0.2446	0.403633
50	-0.032775	-0.3374	0.368228
51	-0.060379	-0.6216	0.267756
52	-0.021364	-0.22	0.413164
53	0.017731	0.1826	0.427747
54	0.037941	0.3906	0.348429
55	0.047749	0.4916	0.312008
56	-0.011878	-0.1223	0.451449
57	0.033412	0.344	0.365765
58	-0.097686	-1.0057	0.158416
59	-0.009711	-0.1	0.460276
60	-0.018602	-0.1915	0.424243

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.149928	-1.5436	0.062833
2	0.006845	0.0705	0.471975
3	-0.171203	-1.7626	0.040422
4	-0.071878	-0.74	0.230459
5	-0.095316	-0.9813	0.16433
6	-0.099771	-1.0272	0.153332
7	0.013441	0.1384	0.445099
8	-0.08252	-0.8496	0.198732
9	0.110845	1.1412	0.128175
10	0.126558	1.303	0.0977
11	0.18713	1.9266	0.028352
12	-0.033741	-0.3474	0.364497
13	0.093282	0.9604	0.169519
14	0.18865	1.9423	0.027379
15	0.068105	0.7012	0.242361
16	-0.065391	-0.6732	0.251131
17	0.007174	0.0739	0.470631
18	0.041595	0.4282	0.334671
19	-0.063281	-0.6515	0.258062
20	0.00157	0.0162	0.493566
21	0.035067	0.361	0.359394
22	-0.003952	-0.0407	0.483811
23	0.006389	0.0658	0.473839
24	0.00966	0.0995	0.460481
25	-0.025611	-0.2637	0.396268
26	-0.043302	-0.4458	0.328317
27	-0.054428	-0.5604	0.288205
28	0.042268	0.4352	0.33216
29	0.000327	0.0034	0.498659
30	-0.079248	-0.8159	0.208191
31	-0.154656	-1.5923	0.05715
32	-0.018378	-0.1892	0.425142
33	-0.183641	-1.8907	0.030698
34	-0.077338	-0.7962	0.213836
35	0.065073	0.67	0.252168
36	0.046905	0.4829	0.315077
37	0.056357	0.5802	0.281495
38	-0.223057	-2.2965	0.011806
39	-0.005998	-0.0618	0.475439
40	0.080067	0.8243	0.205798
41	0.024367	0.2509	0.401197
42	-0.097442	-1.0032	0.159017
43	0.018961	0.1952	0.422801
44	0.026658	0.2745	0.392132
45	-0.034227	-0.3524	0.362624
46	0.047039	0.4843	0.314587
47	0.021906	0.2255	0.411
48	-0.134855	-1.3884	0.083961
49	0.025934	0.267	0.39499
50	-0.105797	-1.0893	0.139257
51	-0.046584	-0.4796	0.316244
52	-0.045303	-0.4664	0.320936
53	0.001592	0.0164	0.493476
54	0.002872	0.0296	0.488232
55	0.046334	0.477	0.31716
56	-0.037948	-0.3907	0.348403
57	0.055404	0.5704	0.284802
58	0.034282	0.353	0.36241
59	0.026848	0.2764	0.391385
60	-0.017779	-0.183	0.427555

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229701583x5u9fxihxrdbmtc/1h8j21229701540.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229701583x5u9fxihxrdbmtc/1h8j21229701540.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229701583x5u9fxihxrdbmtc/2vbvc1229701540.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/19/t1229701583x5u9fxihxrdbmtc/2vbvc1229701540.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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