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ACF Energie 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: Sun, 21 Dec 2008 11:22:18 -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/21/t1229883809uvc5bum5nfrgofh.htm/, Retrieved Sun, 21 Dec 2008 19:23:31 +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/21/t1229883809uvc5bum5nfrgofh.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 «

95.1 95.9 95.9 96.9 95.7 97.8 95.9 98.2 101.2 106.8 108.2 108.2 113.2 115.2 122 119.8 119.8 112.7 113.8 118.6 119.2 118.1 121.6 125.3 126.5 133.6 136.5 131.9 131.9 139.3 139.9 140.1 142.1 141.8 143.5 143.6 140.6 137.4 133.9 134.6 134.6 132.1 132.5 134.1 135.1 136.4 136.6 138.1 138.4 141 144.9 153.4 156.5 160.7 163.9 166.7 169.7 174.3 181.8 187.8 182.4

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.93338	7.2899	0
2	0.858949	6.7086	0
3	0.7845	6.1271	0
4	0.714906	5.5836	0
5	0.639766	4.9967	3e-06
6	0.568315	4.4387	1.9e-05
7	0.490137	3.8281	0.000153
8	0.416184	3.2505	0.000939
9	0.356713	2.786	0.00355
10	0.310299	2.4235	0.009176
11	0.27113	2.1176	0.019147
12	0.230692	1.8018	0.038262
13	0.204101	1.5941	0.058044
14	0.180753	1.4117	0.081556
15	0.169578	1.3244	0.095148
16	0.154282	1.205	0.116432
17	0.138915	1.085	0.141105
18	0.110885	0.866	0.19493
19	0.086722	0.6773	0.250381
20	0.071158	0.5558	0.290203
21	0.049747	0.3885	0.349487
22	0.023215	0.1813	0.428361
23	0.001235	0.0096	0.496166
24	-0.019735	-0.1541	0.439006
25	-0.044198	-0.3452	0.365567
26	-0.063983	-0.4997	0.309535
27	-0.081592	-0.6373	0.263171
28	-0.104326	-0.8148	0.209176
29	-0.128177	-1.0011	0.160368
30	-0.141629	-1.1062	0.136502
31	-0.155409	-1.2138	0.114755
32	-0.169524	-1.324	0.095217
33	-0.174297	-1.3613	0.089213
34	-0.181471	-1.4173	0.080736
35	-0.192592	-1.5042	0.068846
36	-0.201561	-1.5742	0.060302
37	-0.206235	-1.6108	0.056199
38	-0.21547	-1.6829	0.048756
39	-0.225725	-1.763	0.041457
40	-0.232998	-1.8198	0.03685
41	-0.243979	-1.9055	0.030713
42	-0.258379	-2.018	0.023997
43	-0.267567	-2.0898	0.020408
44	-0.276467	-2.1593	0.017385
45	-0.298522	-2.3315	0.011522
46	-0.321817	-2.5135	0.007306
47	-0.350182	-2.735	0.004078
48	-0.367922	-2.8736	0.002789

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.93338	7.2899	0
2	-0.095097	-0.7427	0.230248
3	-0.036864	-0.2879	0.387193
4	-0.003823	-0.0299	0.488139
5	-0.088326	-0.6898	0.246454
6	-0.011605	-0.0906	0.46404
7	-0.100942	-0.7884	0.216763
8	-0.015929	-0.1244	0.4507
9	0.063514	0.4961	0.310818
10	0.03958	0.3091	0.379139
11	0.017697	0.1382	0.445263
12	-0.04984	-0.3893	0.349219
13	0.076288	0.5958	0.276747
14	-0.017335	-0.1354	0.446374
15	0.055907	0.4366	0.331955
16	-0.058279	-0.4552	0.325301
17	-0.021658	-0.1692	0.433118
18	-0.094972	-0.7418	0.230541
19	0.0043	0.0336	0.486659
20	0.053209	0.4156	0.339589
21	-0.078671	-0.6144	0.270604
22	-0.025626	-0.2001	0.421017
23	0.032187	0.2514	0.40118
24	-0.015499	-0.1211	0.452023
25	-0.043374	-0.3388	0.367976
26	-0.012918	-0.1009	0.459983
27	0.001656	0.0129	0.494862
28	-0.067168	-0.5246	0.30088
29	-0.020732	-0.1619	0.435952
30	0.02376	0.1856	0.426699
31	-0.035275	-0.2755	0.391928
32	-0.020767	-0.1622	0.435845
33	0.056478	0.4411	0.330347
34	-0.048307	-0.3773	0.353633
35	-0.046415	-0.3625	0.359111
36	-0.010025	-0.0783	0.468923
37	-0.008888	-0.0694	0.472442
38	-0.043914	-0.343	0.366398
39	-0.023798	-0.1859	0.426581
40	-0.008278	-0.0647	0.474331
41	-0.053745	-0.4198	0.338068
42	-0.029008	-0.2266	0.410762
43	0.008488	0.0663	0.473681
44	-0.03702	-0.2891	0.386729
45	-0.114984	-0.8981	0.186345
46	-0.036119	-0.2821	0.389413
47	-0.101634	-0.7938	0.215198
48	0.039326	0.3071	0.37989

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229883809uvc5bum5nfrgofh/1ryhp1229883736.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229883809uvc5bum5nfrgofh/1ryhp1229883736.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229883809uvc5bum5nfrgofh/2fwu61229883736.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/21/t1229883809uvc5bum5nfrgofh/2fwu61229883736.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = -0.8 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = -0.8 ; 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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