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ACF inschrijvingen

*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, 27 Dec 2009 07:01:24 -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/27/t1261922513lils5et0rz0ojc7.htm/, Retrieved Sun, 27 Dec 2009 15:01:55 +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/27/t1261922513lils5et0rz0ojc7.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 «

20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835 20205 17789 20520 22518 15572 11509 25447 24090 27786 26195 20516 22759 19028 16971

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	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.314515	2.4362	0.008914
2	0.130742	1.0127	0.157629
3	-0.044693	-0.3462	0.365206
4	-0.218072	-1.6892	0.048188
5	-0.270914	-2.0985	0.02004
6	-0.516494	-4.0007	8.8e-05
7	-0.275589	-2.1347	0.01844
8	-0.144498	-1.1193	0.133741
9	-0.070928	-0.5494	0.292384
10	0.052736	0.4085	0.342184
11	0.228616	1.7708	0.040832
12	0.752032	5.8252	0
13	0.224774	1.7411	0.043397
14	0.06982	0.5408	0.295315
15	-0.070545	-0.5464	0.293395
16	-0.207459	-1.607	0.056656
17	-0.231124	-1.7903	0.039227
18	-0.413482	-3.2028	0.00109
19	-0.199247	-1.5434	0.064001
20	-0.092208	-0.7142	0.238923
21	-0.057818	-0.4479	0.327936
22	0.026507	0.2053	0.419007
23	0.162429	1.2582	0.106602
24	0.547742	4.2428	3.9e-05
25	0.199014	1.5416	0.06422
26	0.075879	0.5878	0.27945
27	-0.003605	-0.0279	0.488908
28	-0.139579	-1.0812	0.141974
29	-0.135038	-1.046	0.149878
30	-0.270084	-2.0921	0.020336
31	-0.132285	-1.0247	0.154816
32	-0.050841	-0.3938	0.347559
33	-0.055267	-0.4281	0.335057
34	0.013832	0.1071	0.457516
35	0.091232	0.7067	0.241251
36	0.326615	2.5299	0.007026
37	0.12873	0.9971	0.161351
38	0.03208	0.2485	0.402302
39	-0.009545	-0.0739	0.470653
40	-0.110778	-0.8581	0.197132
41	-0.0941	-0.7289	0.23445
42	-0.135488	-1.0495	0.149081
43	-0.054251	-0.4202	0.33791
44	0.00126	0.0098	0.496122
45	-0.002812	-0.0218	0.491346
46	0.004463	0.0346	0.48627
47	0.028348	0.2196	0.413472
48	0.123339	0.9554	0.17161
49	0.033506	0.2595	0.398055
50	0.001319	0.0102	0.495941
51	-0.00867	-0.0672	0.473339
52	-0.059377	-0.4599	0.323614
53	-0.021768	-0.1686	0.433332
54	-0.023674	-0.1834	0.427561
55	-0.007768	-0.0602	0.476111
56	0.036185	0.2803	0.39011
57	0.010636	0.0824	0.467307
58	0.004539	0.0352	0.486036
59	0.007112	0.0551	0.478127
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.314515	2.4362	0.008914
2	0.035316	0.2736	0.392682
3	-0.106081	-0.8217	0.20725
4	-0.202068	-1.5652	0.061396
5	-0.158961	-1.2313	0.111507
6	-0.435777	-3.3755	0.000648
7	-0.075229	-0.5827	0.281132
8	-0.100561	-0.7789	0.219538
9	-0.181959	-1.4095	0.081932
10	-0.175352	-1.3583	0.089732
11	0.025324	0.1962	0.422574
12	0.643373	4.9835	3e-06
13	-0.343963	-2.6643	0.004947
14	-0.209729	-1.6246	0.05475
15	-0.055575	-0.4305	0.334194
16	0.066702	0.5167	0.303643
17	-0.079412	-0.6151	0.2704
18	0.076162	0.59	0.278719
19	-0.046494	-0.3601	0.360002
20	-0.230455	-1.7851	0.03965
21	-0.026932	-0.2086	0.417728
22	0.055296	0.4283	0.334977
23	-0.127353	-0.9865	0.163932
24	-0.188169	-1.4576	0.075089
25	0.142657	1.105	0.136783
26	-0.008313	-0.0644	0.474435
27	-0.014674	-0.1137	0.454942
28	-0.028659	-0.222	0.412539
29	0.082938	0.6424	0.26152
30	-0.041653	-0.3226	0.374043
31	-0.031639	-0.2451	0.403617
32	0.06836	0.5295	0.2992
33	-0.01735	-0.1344	0.44677
34	0.015149	0.1173	0.453488
35	-0.024576	-0.1904	0.424833
36	-0.130414	-1.0102	0.158232
37	-0.066622	-0.516	0.303858
38	0.009231	0.0715	0.471619
39	-0.072366	-0.5605	0.288599
40	-0.027224	-0.2109	0.416849
41	-0.048576	-0.3763	0.354022
42	0.062447	0.4837	0.315176
43	0.013718	0.1063	0.457865
44	0.039437	0.3055	0.38053
45	0.041553	0.3219	0.374336
46	-0.134545	-1.0422	0.150754
47	-0.041821	-0.3239	0.373553
48	-0.070095	-0.543	0.294587
49	-0.00026	-0.002	0.499201
50	0.013453	0.1042	0.458678
51	0.021605	0.1674	0.433829
52	-0.055065	-0.4265	0.335624
53	-0.020809	-0.1612	0.436244
54	-0.073046	-0.5658	0.286817
55	-0.107448	-0.8323	0.204274
56	0.040076	0.3104	0.378656
57	-0.045722	-0.3542	0.362231
58	-0.020493	-0.1587	0.437205
59	0.04934	0.3822	0.351837
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922513lils5et0rz0ojc7/1vnmz1261922482.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922513lils5et0rz0ojc7/1vnmz1261922482.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922513lils5et0rz0ojc7/2n3ee1261922482.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261922513lils5et0rz0ojc7/2n3ee1261922482.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; 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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