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(P)ACF Mannen (d=1)

*Unverified author*

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 23 Dec 2008 13:47:36 -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/23/t1230065315q6irab927uqw06o.htm/, Retrieved Tue, 23 Dec 2008 21:48:37 +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/23/t1230065315q6irab927uqw06o.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 «

54156 53661 52441 50648 48141 46127 45623 56527 60205 61321 58088 54623 53495 51824 50518 49050 47111 45264 44357 54862 57871 59070 56273 52837 51702 49447 48965 46922 46256 45200 44471 53119 55016 56641 51847 47990 45744 46390 44461 41582 40813 38096 35461 44375 46255 45610 43375 40167 40628 40590 39473 36735 36634 32806 32907 41076 42254 43215 41116 40373

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	0.260489	2.0009	0.025008
2	-0.069363	-0.5328	0.29809
3	-0.305592	-2.3473	0.011143
4	-0.30005	-2.3047	0.012359
5	-0.068677	-0.5275	0.299907
6	-0.023131	-0.1777	0.429795
7	-0.032621	-0.2506	0.401508
8	-0.245779	-1.8879	0.031983
9	-0.217912	-1.6738	0.04973
10	-0.070991	-0.5453	0.293804
11	0.241227	1.8529	0.03445
12	0.747891	5.7447	0
13	0.182	1.398	0.083678
14	-0.048345	-0.3713	0.355854
15	-0.25633	-1.9689	0.026833
16	-0.227097	-1.7444	0.043151
17	-0.038793	-0.298	0.383385
18	-0.018928	-0.1454	0.44245
19	-0.037415	-0.2874	0.387411
20	-0.203284	-1.5615	0.061882
21	-0.16246	-1.2479	0.108502
22	-0.034561	-0.2655	0.395788
23	0.159189	1.2228	0.113142
24	0.538879	4.1392	5.6e-05
25	0.130056	0.999	0.160942
26	-0.03262	-0.2506	0.401513
27	-0.213299	-1.6384	0.053333
28	-0.134523	-1.0333	0.152843
29	-0.010905	-0.0838	0.466764
30	0.003644	0.028	0.488884
31	-0.028209	-0.2167	0.414603
32	-0.149133	-1.1455	0.128312
33	-0.09949	-0.7642	0.223897
34	-0.057082	-0.4385	0.331328
35	0.109121	0.8382	0.202657
36	0.362578	2.785	0.003592
37	0.085298	0.6552	0.257447
38	-0.037632	-0.2891	0.386775
39	-0.120291	-0.924	0.179632
40	-0.070645	-0.5426	0.294714
41	0.001896	0.0146	0.494214
42	0.00149	0.0114	0.495453
43	-0.01308	-0.1005	0.460157
44	-0.081276	-0.6243	0.267422
45	-0.051884	-0.3985	0.34584
46	-0.039192	-0.301	0.382222
47	0.071254	0.5473	0.293113
48	0.173193	1.3303	0.094266
49	0.039694	0.3049	0.380759
50	-0.006789	-0.0521	0.479294
51	-0.060874	-0.4676	0.320904
52	-0.033559	-0.2578	0.398741
53	-0.014349	-0.1102	0.456305
54	-0.000444	-0.0034	0.498647
55	0.003676	0.0282	0.488783
56	0.003388	0.026	0.489662
57	0.001445	0.0111	0.495592
58	0.000194	0.0015	0.499407
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.260489	2.0009	0.025008
2	-0.147206	-1.1307	0.131376
3	-0.270321	-2.0764	0.021112
4	-0.183461	-1.4092	0.082014
5	0.003037	0.0233	0.490734
6	-0.139151	-1.0688	0.144748
7	-0.164818	-1.266	0.105246
8	-0.375034	-2.8807	0.002762
9	-0.29861	-2.2937	0.012694
10	-0.319547	-2.4545	0.008539
11	-0.154943	-1.1901	0.119379
12	0.545232	4.188	4.8e-05
13	-0.259852	-1.996	0.02528
14	-0.021381	-0.1642	0.435057
15	0.080302	0.6168	0.269867
16	0.047438	0.3644	0.35844
17	0.021808	0.1675	0.433771
18	-0.026301	-0.202	0.420297
19	-0.028465	-0.2186	0.413842
20	0.028197	0.2166	0.414639
21	-0.022105	-0.1698	0.432878
22	0.059425	0.4565	0.32487
23	-0.208496	-1.6015	0.057305
24	-0.025404	-0.1951	0.42298
25	-0.00667	-0.0512	0.479656
26	-0.104034	-0.7991	0.213719
27	-0.120669	-0.9269	0.178884
28	0.014203	0.1091	0.456748
29	-0.094617	-0.7268	0.235122
30	-0.009017	-0.0693	0.472509
31	-0.053972	-0.4146	0.339981
32	0.032344	0.2484	0.402328
33	-0.00577	-0.0443	0.482401
34	-0.120737	-0.9274	0.178749
35	0.070873	0.5444	0.294114
36	-0.092688	-0.712	0.23965
37	-0.0654	-0.5023	0.308647
38	-0.054532	-0.4189	0.338416
39	0.060386	0.4638	0.322237
40	-0.103313	-0.7936	0.215316
41	-0.062492	-0.48	0.316499
42	-0.073847	-0.5672	0.286356
43	0.025405	0.1951	0.422976
44	-0.044287	-0.3402	0.367465
45	0.010683	0.0821	0.467438
46	0.015381	0.1181	0.453177
47	0.001485	0.0114	0.495468
48	-0.170937	-1.313	0.097135
49	0.105859	0.8131	0.20971
50	0.011498	0.0883	0.464962
51	-0.088312	-0.6783	0.250104
52	-0.051493	-0.3955	0.346941
53	-0.03796	-0.2916	0.385816
54	-0.040362	-0.31	0.378815
55	-0.030254	-0.2324	0.408521
56	0.062273	0.4783	0.317092
57	-0.019837	-0.1524	0.439708
58	0.026716	0.2052	0.419057
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230065315q6irab927uqw06o/1i4971230065253.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230065315q6irab927uqw06o/1i4971230065253.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230065315q6irab927uqw06o/2aht21230065253.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/23/t1230065315q6irab927uqw06o/2aht21230065253.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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