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acf wlh

*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 07:14:34 -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/t1261923299amqkgtyzczghvio.htm/, Retrieved Sun, 27 Dec 2009 15:15:01 +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/t1261923299amqkgtyzczghvio.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 «

612613 611324 594167 595454 590865 589379 584428 573100 567456 569028 620735 628884 628232 612117 595404 597141 593408 590072 579799 574205 572775 572942 619567 625809 619916 587625 565742 557274 560576 548854 531673 525919 511038 498662 555362 564591 541657 527070 509846 514258 516922 507561 492622 490243 469357 477580 528379 533590 517945 506174 501866 516141 528222 532638 536322 536535 523597 536214 586570 596594

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	0.246037	1.8898	0.031847
2	-0.216194	-1.6606	0.051048
3	-0.257927	-1.9812	0.026119
4	-0.18458	-1.4178	0.080757
5	0.087886	0.6751	0.251135
6	0.224236	1.7224	0.045119
7	0.092345	0.7093	0.240461
8	-0.211912	-1.6277	0.054456
9	-0.263779	-2.0261	0.02364
10	-0.224745	-1.7263	0.044764
11	0.236584	1.8172	0.03713
12	0.732413	5.6258	0
13	0.123722	0.9503	0.172912
14	-0.209993	-1.613	0.056042
15	-0.233581	-1.7942	0.038955
16	-0.182797	-1.4041	0.082767
17	0.040278	0.3094	0.379062
18	0.134048	1.0296	0.153691
19	0.033804	0.2597	0.398017
20	-0.228407	-1.7544	0.042275
21	-0.250498	-1.9241	0.029584
22	-0.178329	-1.3698	0.087975
23	0.185488	1.4248	0.079747
24	0.502119	3.8568	0.000143
25	0.053135	0.4081	0.342325
26	-0.178613	-1.3719	0.087637
27	-0.161132	-1.2377	0.11037
28	-0.117075	-0.8993	0.186082
29	0.033051	0.2539	0.400238
30	0.081595	0.6267	0.266622
31	0.018261	0.1403	0.444464
32	-0.190902	-1.4663	0.073932
33	-0.176362	-1.3547	0.090345
34	-0.079512	-0.6107	0.271859
35	0.118964	0.9138	0.182276
36	0.290962	2.2349	0.014611
37	0.04063	0.3121	0.378038
38	-0.078995	-0.6068	0.273166
39	-0.087993	-0.6759	0.250878
40	-0.034343	-0.2638	0.396429
41	0.028636	0.22	0.413331
42	0.053697	0.4125	0.34075
43	0.016194	0.1244	0.450715
44	-0.088365	-0.6787	0.249977
45	-0.069091	-0.5307	0.298809
46	-0.03104	-0.2384	0.40619
47	0.055819	0.4288	0.334832
48	0.140223	1.0771	0.142915
49	0.022285	0.1712	0.432337
50	-0.028245	-0.217	0.414496
51	-0.037049	-0.2846	0.388481
52	-0.018955	-0.1456	0.442367
53	-0.009775	-0.0751	0.470201
54	0.000118	9e-04	0.499639
55	-0.008439	-0.0648	0.474269
56	-0.042217	-0.3243	0.373437
57	-0.011167	-0.0858	0.465966
58	-0.000519	-0.004	0.498416
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.246037	1.8898	0.031847
2	-0.294559	-2.2626	0.01368
3	-0.135899	-1.0439	0.150404
4	-0.158697	-1.219	0.113853
5	0.096761	0.7432	0.230145
6	0.084022	0.6454	0.260591
7	-0.000123	-9e-04	0.499626
8	-0.202615	-1.5563	0.062491
9	-0.100167	-0.7694	0.222363
10	-0.224318	-1.723	0.045061
11	0.274599	2.1092	0.019589
12	0.60426	4.6414	1e-05
13	-0.230423	-1.7699	0.040954
14	0.039684	0.3048	0.38079
15	0.001934	0.0149	0.494098
16	-0.092157	-0.7079	0.240906
17	-0.085421	-0.6561	0.257144
18	-0.191617	-1.4718	0.073189
19	-0.04701	-0.3611	0.359662
20	-0.054952	-0.4221	0.337244
21	-0.030447	-0.2339	0.407947
22	0.031933	0.2453	0.403546
23	-0.127514	-0.9795	0.165677
24	-0.037536	-0.2883	0.387056
25	0.012795	0.0983	0.461022
26	-0.061888	-0.4754	0.318138
27	0.06881	0.5285	0.299553
28	0.00303	0.0233	0.490755
29	-0.006928	-0.0532	0.478871
30	-0.013982	-0.1074	0.45742
31	0.002568	0.0197	0.492165
32	0.006384	0.049	0.480528
33	0.00587	0.0451	0.482095
34	0.030947	0.2377	0.406465
35	-0.136025	-1.0448	0.150182
36	-0.134833	-1.0357	0.152292
37	0.095978	0.7372	0.231955
38	0.028133	0.2161	0.414829
39	-0.08471	-0.6507	0.258894
40	0.066152	0.5081	0.306631
41	-0.031924	-0.2452	0.403571
42	0.054502	0.4186	0.338502
43	-0.013285	-0.102	0.459534
44	0.116108	0.8918	0.188051
45	0.010585	0.0813	0.467736
46	-0.079115	-0.6077	0.27286
47	0.076775	0.5897	0.278816
48	-0.051691	-0.397	0.346383
49	-0.081386	-0.6251	0.267145
50	0.006603	0.0507	0.479862
51	-0.077926	-0.5986	0.275878
52	-0.077669	-0.5966	0.276533
53	-0.029547	-0.227	0.410621
54	-0.03405	-0.2615	0.397293
55	-0.044393	-0.341	0.367161
56	-0.086862	-0.6672	0.253624
57	0.042364	0.3254	0.373013
58	0.031897	0.245	0.403651
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261923299amqkgtyzczghvio/1wdki1261923271.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261923299amqkgtyzczghvio/1wdki1261923271.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261923299amqkgtyzczghvio/2a06i1261923271.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/27/t1261923299amqkgtyzczghvio/2a06i1261923271.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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