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ACF (3)

*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: Thu, 17 Dec 2009 07:53:39 -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/17/t1261061672xevxhmf7elv0iye.htm/, Retrieved Thu, 17 Dec 2009 15:54:34 +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/17/t1261061672xevxhmf7elv0iye.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 «

21 19 25 21 23 23 19 18 19 19 22 23 20 14 14 14 15 11 17 16 20 24 23 20 21 19 23 23 23 23 27 26 17 24 26 24 27 27 26 24 23 23 24 17 21 19 22 22 18 16 14 12 14 16 8 3 0 5 1 1 3

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.541715	-4.161	5.2e-05
2	0.005537	0.0425	0.483109
3	0.040513	0.3112	0.378377
4	0.021669	0.1664	0.434188
5	-0.075724	-0.5816	0.28151
6	0.086497	0.6644	0.254514
7	-0.056721	-0.4357	0.332328
8	0.068871	0.529	0.299393
9	-0.062635	-0.4811	0.316109
10	-0.018995	-0.1459	0.442248
11	0.101545	0.78	0.21926
12	-0.107278	-0.824	0.206624
13	0.130527	1.0026	0.160075
14	-0.175071	-1.3447	0.091927
15	0.011168	0.0858	0.465963
16	0.204704	1.5724	0.060607
17	-0.178722	-1.3728	0.087506
18	0.018342	0.1409	0.444221
19	0.078328	0.6017	0.274856
20	0.053117	0.408	0.342376
21	-0.197711	-1.5186	0.067096
22	0.08238	0.6328	0.264663
23	-2.3e-05	-2e-04	0.499929
24	0.106268	0.8163	0.208817
25	-0.264643	-2.0328	0.023292
26	0.304081	2.3357	0.011463
27	-0.138323	-1.0625	0.146174
28	-0.008941	-0.0687	0.472738
29	0.078342	0.6018	0.274822
30	-0.187517	-1.4403	0.077528
31	0.160278	1.2311	0.111582
32	0.015598	0.1198	0.452519
33	-0.070835	-0.5441	0.294215
34	0.007659	0.0588	0.476642
35	0.006884	0.0529	0.479004
36	-0.01554	-0.1194	0.452695

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.541715	-4.161	5.2e-05
2	-0.407501	-3.1301	0.001358
3	-0.298724	-2.2945	0.012667
4	-0.187863	-1.443	0.077154
5	-0.239465	-1.8394	0.035447
6	-0.144734	-1.1117	0.135383
7	-0.161287	-1.2389	0.11015
8	-0.037222	-0.2859	0.387974
9	-0.039568	-0.3039	0.381127
10	-0.109858	-0.8438	0.201085
11	0.032287	0.248	0.402497
12	-0.043306	-0.3326	0.370293
13	0.166754	1.2809	0.102627
14	-0.027748	-0.2131	0.415978
15	-0.225545	-1.7324	0.04421
16	0.034704	0.2666	0.395366
17	-0.056663	-0.4352	0.33249
18	-0.065889	-0.5061	0.307335
19	-0.039725	-0.3051	0.380668
20	0.245851	1.8884	0.031945
21	0.104714	0.8043	0.212221
22	-0.019441	-0.1493	0.440901
23	-0.073805	-0.5669	0.286464
24	0.058697	0.4509	0.326873
25	-0.248976	-1.9124	0.030341
26	-0.044047	-0.3383	0.368158
27	-0.020662	-0.1587	0.43722
28	-0.009092	-0.0698	0.47228
29	0.142776	1.0967	0.138618
30	-0.141643	-1.088	0.140515
31	-0.044164	-0.3392	0.367822
32	-0.010771	-0.0827	0.467172
33	0.081562	0.6265	0.266704
34	0.116465	0.8946	0.187323
35	-0.124167	-0.9537	0.172052
36	-0.137032	-1.0526	0.148417

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261061672xevxhmf7elv0iye/1gog61261061617.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261061672xevxhmf7elv0iye/1gog61261061617.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261061672xevxhmf7elv0iye/2sl2b1261061617.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/17/t1261061672xevxhmf7elv0iye/2sl2b1261061617.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

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 (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

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='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

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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