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Acf

*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: Mon, 14 Dec 2009 14:28:47 -0700
 
Cite this page as follows:
Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Dec/14/t12608264240220h025180mnqh.htm/, Retrieved Mon, 14 Dec 2009 22:33:46 +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/2009/Dec/14/t12608264240220h025180mnqh.htm/},
    year = {2009},
}
@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 = {2009},
    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 «
2058,00 2160,00 2260,00 2498,00 2695,00 2799,00 2947,00 2930,00 2318,00 2540,00 2570,00 2669,00 2450,00 2842,00 3440,00 2678,00 2981,00 2260,00 2844,00 2546,00 2456,00 2295,00 2379,00 2479,00 2057,00 2280,00 2351,00 2276,00 2548,00 2311,00 2201,00 2725,00 2408,00 2139,00 1898,00 2537,00 2069,00 2063,00 2526,00 2440,00 2191,00 2797,00 2074,00 2628,00 2287,00 2146,00 2430,00 2141,00 1827,00 2082,00 1788,00 1743,00 2245,00 1963,00 1828,00 2527,00 2114,00 2424,00
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2816641.91030.031168
20.3205772.17430.017433
30.139690.94740.174188
40.0109960.07460.470437
5-0.08309-0.56350.287901
6-0.001631-0.01110.49561
7-0.039186-0.26580.395801
80.0251230.17040.432724
9-0.083122-0.56380.287829
10-0.1448-0.98210.165599
11-0.129031-0.87510.193024
12-0.431871-2.92910.002637
13-0.203436-1.37980.087164
14-0.209786-1.42280.080764
15-0.144871-0.98260.165481
16-0.103728-0.70350.24264
170.0255580.17330.431571
18-0.057967-0.39310.348013
19-0.018213-0.12350.451115
20-0.113382-0.7690.222913
210.0253470.17190.432132
22-0.023579-0.15990.436823
230.1178470.79930.214119
240.086370.58580.280439
250.2149971.45820.075793
260.1361240.92320.18035
270.1479491.00340.160449
280.1160990.78740.217537
290.0523310.35490.362134
300.0400820.27180.393478
31-0.000265-0.00180.499286
320.1133370.76870.223003
330.0222210.15070.440431
340.014580.09890.460829
35-0.071138-0.48250.315875
36-0.081875-0.55530.290689
37-0.161397-1.09460.139685
38-0.121094-0.82130.207856
39-0.141329-0.95850.1714
40-0.108632-0.73680.232499
41-0.039781-0.26980.394256
42-0.001498-0.01020.495969
430.0610740.41420.340319
440.0368780.25010.401803
450.0258610.17540.430769
46NANANA
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2816641.91030.031168
20.262031.77720.041076
3-0.000874-0.00590.497647
4-0.118823-0.80590.212225
5-0.118928-0.80660.212021
60.0800030.54260.29501
70.0275410.18680.426323
80.0337410.22880.410003
9-0.13211-0.8960.187455
10-0.169528-1.14980.128086
11-0.021234-0.1440.443059
12-0.360241-2.44330.009226
130.0176310.11960.452667
140.0274580.18620.426543
15-0.032383-0.21960.413565
16-0.088732-0.60180.275128
170.0059760.04050.483923
18-0.030882-0.20950.417511
19-0.068044-0.46150.32331
20-0.109041-0.73960.231664
210.0414370.2810.389971
22-0.057206-0.3880.349906
230.1019630.69150.246349
24-0.165024-1.11920.134422
250.1107820.75140.228131
260.0256070.17370.43144
27-0.002822-0.01910.492405
280.0015180.01030.495915
29-0.01763-0.11960.452671
300.0039310.02670.489422
31-0.080391-0.54520.294113
320.096650.65550.257702
330.0372270.25250.400894
34-0.118419-0.80320.213008
35-0.012381-0.0840.466721
36-0.123079-0.83480.204082
370.079990.54250.29504
38-0.030331-0.20570.418959
39-0.040944-0.27770.391246
40-0.05629-0.38180.352193
410.0673310.45670.325031
420.0614510.41680.339389
430.0434280.29450.384833
440.0655570.44460.329337
450.0187780.12740.449606
46NANANA
47NANANA
48NANANA
49NANANA
50NANANA
51NANANA
52NANANA
53NANANA
54NANANA
55NANANA
56NANANA
57NANANA
58NANANA
59NANANA
60NANANA
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2009/Dec/14/t12608264240220h025180mnqh/155cn1260826125.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/14/t12608264240220h025180mnqh/155cn1260826125.ps (open in new window)


http://www.freestatistics.org/blog/date/2009/Dec/14/t12608264240220h025180mnqh/22hu11260826125.png (open in new window)
http://www.freestatistics.org/blog/date/2009/Dec/14/t12608264240220h025180mnqh/22hu11260826125.ps (open in new window)


 
Parameters (Session):
par1 = Industriële omzetcijfers volgens BTW ; par2 = ADSEI ; par3 = maandelijkse industriële omzet volgens BTW in België ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = White Noise ;
 
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')
 




Copyright

Creative Commons License

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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