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paper acf export

*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, 28 Dec 2009 07:10:36 -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/28/t12620094904o1pu12f7z87fyi.htm/, Retrieved Mon, 28 Dec 2009 15:11:32 +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/28/t12620094904o1pu12f7z87fyi.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 «

4223.4 4627.3 5175.3 4550.7 4639.3 5498.7 5031.0 4033.3 4643.5 4873.2 4608.7 4733.5 3955.6 4590.9 5127.5 5257.3 5416.9 5813.3 5261.9 4669.2 5855.8 5274.6 5516.7 5819.5 5156.0 5377.3 6386.8 5144.0 6138.5 5567.8 5822.6 5145.5 5706.6 6078.5 6074.5 5577.6 5727.5 6067.0 7069.9 5490.0 5948.3 6177.5 6890.1 5756.2 6528.8 6792.0 6657.4 5753.7 5750.9 5968.4 5871.7 7004.9 6363.4 6694.7 7101.6 5364.0 6958.6 6503.3 5316.0 5312.7 4478.0

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	3 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.549389	4.2909	3.2e-05
2	0.503825	3.935	0.000108
3	0.532847	4.1617	5e-05
4	0.463635	3.6211	0.000299
5	0.439406	3.4319	0.000541
6	0.402698	3.1452	0.001283
7	0.356527	2.7846	0.003565
8	0.394895	3.0842	0.001532
9	0.310461	2.4248	0.009147
10	0.298811	2.3338	0.011459
11	0.289064	2.2577	0.013779
12	0.380646	2.9729	0.002109
13	0.152014	1.1873	0.119863
14	0.079806	0.6233	0.267704
15	0.1041	0.813	0.209677
16	0.101836	0.7954	0.214742
17	0.023356	0.1824	0.42793
18	0.068259	0.5331	0.297943
19	0.032154	0.2511	0.401279
20	-0.012137	-0.0948	0.462394
21	-0.024809	-0.1938	0.423502
22	-0.119641	-0.9344	0.176885
23	-0.066584	-0.52	0.302459
24	-0.037104	-0.2898	0.386479
25	-0.120665	-0.9424	0.174846
26	-0.192851	-1.5062	0.068587
27	-0.152787	-1.1933	0.118686
28	-0.087228	-0.6813	0.249138
29	-0.161878	-1.2643	0.105464
30	-0.219724	-1.7161	0.045609
31	-0.168593	-1.3168	0.096424
32	-0.278887	-2.1782	0.016634
33	-0.246564	-1.9257	0.029402
34	-0.278684	-2.1766	0.016696
35	-0.267839	-2.0919	0.020309
36	-0.173348	-1.3539	0.090382
37	-0.260862	-2.0374	0.022977
38	-0.327466	-2.5576	0.006521
39	-0.23893	-1.8661	0.033418
40	-0.231302	-1.8065	0.037884
41	-0.273594	-2.1368	0.018315
42	-0.301794	-2.3571	0.010822
43	-0.254531	-1.9879	0.025655
44	-0.303216	-2.3682	0.01053
45	-0.247094	-1.9299	0.029138
46	-0.184457	-1.4407	0.077398
47	-0.138249	-1.0798	0.14225
48	-0.085171	-0.6652	0.254213
49	-0.130992	-1.0231	0.155155
50	-0.143345	-1.1196	0.133646
51	-0.099079	-0.7738	0.22101
52	-0.061536	-0.4806	0.316256
53	-0.088468	-0.691	0.246108
54	-0.066896	-0.5225	0.301617
55	-0.020182	-0.1576	0.437635
56	-0.035202	-0.2749	0.392147
57	0.00764	0.0597	0.476307
58	0.029825	0.2329	0.408294
59	0.039275	0.3067	0.380041
60	0.041221	0.3219	0.374297

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.549389	4.2909	3.2e-05
2	0.289323	2.2597	0.013712
3	0.276966	2.1632	0.017228
4	0.092849	0.7252	0.235558
5	0.074875	0.5848	0.280423
6	0.017625	0.1377	0.445482
7	-0.012646	-0.0988	0.460822
8	0.103546	0.8087	0.21091
9	-0.053407	-0.4171	0.339027
10	0.007892	0.0616	0.475525
11	-0.004758	-0.0372	0.48524
12	0.213802	1.6698	0.050037
13	-0.293996	-2.2962	0.012557
14	-0.216119	-1.6879	0.048265
15	-0.083152	-0.6494	0.259248
16	0.073526	0.5743	0.283953
17	-0.058578	-0.4575	0.324465
18	0.102955	0.8041	0.21223
19	0.021079	0.1646	0.43489
20	-0.115911	-0.9053	0.184436
21	-0.000228	-0.0018	0.499292
22	-0.180376	-1.4088	0.081988
23	0.065366	0.5105	0.305764
24	0.016036	0.1252	0.450371
25	0.160791	1.2558	0.106986
26	-0.153888	-1.2019	0.117023
27	-0.014159	-0.1106	0.456155
28	0.056433	0.4408	0.330473
29	-0.045813	-0.3578	0.36086
30	-0.206329	-1.6115	0.056119
31	0.012205	0.0953	0.462184
32	-0.095566	-0.7464	0.229149
33	0.010259	0.0801	0.4682
34	0.034158	0.2668	0.395267
35	-0.055531	-0.4337	0.333015
36	0.095583	0.7465	0.229109
37	-0.126289	-0.9864	0.163928
38	-0.000713	-0.0056	0.497787
39	-0.110156	-0.8603	0.196484
40	0.077669	0.6066	0.273179
41	-0.039788	-0.3108	0.378522
42	0.053363	0.4168	0.339151
43	-0.047244	-0.369	0.356708
44	-0.059811	-0.4671	0.321032
45	0.082343	0.6431	0.261278
46	0.08506	0.6643	0.254489
47	0.134273	1.0487	0.149226
48	-0.017661	-0.1379	0.445372
49	0.026396	0.2062	0.418677
50	-0.02158	-0.1685	0.433356
51	-0.02705	-0.2113	0.41669
52	-0.102869	-0.8034	0.212422
53	0.044404	0.3468	0.364964
54	-0.003458	-0.027	0.489272
55	0.071599	0.5592	0.289035
56	-0.037684	-0.2943	0.384755
57	-0.027227	-0.2126	0.416156
58	-0.062003	-0.4843	0.314967
59	-0.083661	-0.6534	0.257972
60	-0.021087	-0.1647	0.434864

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Dec/28/t12620094904o1pu12f7z87fyi/1yd8e1262009433.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t12620094904o1pu12f7z87fyi/1yd8e1262009433.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t12620094904o1pu12f7z87fyi/2si4k1262009433.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Dec/28/t12620094904o1pu12f7z87fyi/2si4k1262009433.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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