ACF Goudprijs before

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

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Sun, 06 Jan 2008 06:05:30 -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/Jan/06/t11996248997lzat4g602mmft4.htm/, Retrieved Sun, 06 Jan 2008 14:08:22 +0100

User-defined keywords:

Dataseries X:

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10511 10812 10738 10171 9721 9897 9828 9924 10371 10846 10413 10709 10662 10570 10297 10635 10872 10296 10383 10431 10574 10653 10805 10872 10625 10407 10463 10556 10646 10702 11353 11346 11451 11964 12574 13031 13812 14544 14931 14886 16005 17064 15168 16050 15839 15137 14954 15648 15305 15579 16348 15928 16171 15937 15713 15594 15683 16438 17032 17696

Text written by user:

Output produced by software:

Summary of compuational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 2 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 0 1 7.746 0 1 0.943231 7.3062 0 2 0.897396 6.9512 0 3 0.858507 6.65 0 4 0.813031 6.2977 0 5 0.763927 5.9174 0 6 0.722599 5.5972 0 7 0.673931 5.2202 1e-06 8 0.614887 4.7629 6e-06 9 0.566612 4.389 2.3e-05 10 0.512005 3.966 9.9e-05 11 0.461178 3.5723 0.000353 12 0.413326 3.2016 0.001093 13 0.36412 2.8205 0.003245 14 0.322773 2.5002 0.007582 15 0.275062 2.1306 0.018614 16 0.223105 1.7282 0.044551 17 0.171517 1.3286 0.094512 18 0.126549 0.9802 0.165451 19 0.054681 0.4236 0.336702 20 -0.005739 -0.0445 0.517654 21 -0.053408 -0.4137 0.659713 22 -0.106193 -0.8226 0.792995 23 -0.157976 -1.2237 0.887071 24 -0.200691 -1.5545 0.937343 25 -0.235329 -1.8229 0.963345 26 -0.272414 -2.1101 0.980486 27 -0.300079 -2.3244 0.988247 28 -0.320824 -2.4851 0.992121 29 -0.344903 -2.6716 0.995148 30 -0.372336 -2.8841 0.997278 31 -0.385878 -2.989 0.997974 32 -0.397898 -3.0821 0.998449 33 -0.412592 -3.1959 0.998888 34 -0.417329 -3.2326 0.999003 35 -0.416036 -3.2226 0.998973 36 -0.415843 -3.2211 0.998968 37 -0.414335 -3.2094 0.998932 38 -0.403349 -3.1243 0.998628 39 -0.390271 -3.023 0.998161 40 -0.379708 -2.9412 0.99768 41 -0.359075 -2.7814 0.996389 42 -0.332928 -2.5788 0.993808 43 -0.318689 -2.4686 0.991784 44 -0.306472 -2.3739 0.989591 45 -0.291345 -2.2567 0.986161 46 -0.275259 -2.1321 0.981451 47 -0.262533 -2.0336 0.976788 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 0 0.943231 7.3062 0 1 0.069901 0.5415 0.295101 2 0.04819 0.3733 0.355128 3 -0.06837 -0.5296 0.700826 4 -0.064193 -0.4972 0.689579 5 0.030067 0.2329 0.408318 6 -0.081265 -0.6295 0.734287 7 -0.125644 -0.9732 0.832829 8 0.033203 0.2572 0.398956 9 -0.08428 -0.6528 0.741821 10 0.014836 0.1149 0.454445 11 -0.013351 -0.1034 0.541013 12 -0.045621 -0.3534 0.637478 13 0.060312 0.4672 0.321033 14 -0.091071 -0.7054 0.758365 15 -0.082757 -0.641 0.73803 16 -0.044618 -0.3456 0.634577 17 -0.008564 -0.0663 0.526335 18 -0.26935 -2.0864 0.979398 19 -0.002838 -0.022 0.508732 20 0.032409 0.251 0.401321 21 -0.032524 -0.2519 0.599022 22 -0.031328 -0.2427 0.595453 23 -0.004709 -0.0365 0.514487 24 0.07227 0.5598 0.28885 25 -0.002174 -0.0168 0.506691 26 -0.019812 -0.1535 0.560726 27 0.040664 0.315 0.376934 28 -0.060518 -0.4688 0.679534 29 -0.108085 -0.8372 0.797106 30 0.075263 0.583 0.281043 31 -0.048822 -0.3782 0.646681 32 -0.010196 -0.079 0.531343 33 0.059616 0.4618 0.322952 34 0.029201 0.2262 0.41091 35 -0.005011 -0.0388 0.515416 36 0.044068 0.3414 0.367015 37 0.024503 0.1898 0.425053 38 -0.009659 -0.0748 0.529697 39 -0.046911 -0.3634 0.641196 40 0.057647 0.4465 0.32841 41 0.032117 0.2488 0.402192 42 -0.177056 -1.3715 0.912331 43 -0.028959 -0.2243 0.588364 44 -0.011908 -0.0922 0.536591 45 -0.037699 -0.292 0.614358 46 -0.012935 -0.1002 0.539739 47 0.052544 0.407 0.342727

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t11996248997lzat4g602mmft4/1l9mw1199624728.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t11996248997lzat4g602mmft4/1l9mw1199624728.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t11996248997lzat4g602mmft4/2ckxg1199624728.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Jan/06/t11996248997lzat4g602mmft4/2ckxg1199624728.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; 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 1:par1) { 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(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-1,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(mytstat,lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

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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