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acf2

*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, 26 Nov 2009 09:03:04 -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/Nov/26/t12592516016plemd4ow1bejsn.htm/, Retrieved Thu, 26 Nov 2009 17:06:44 +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/Nov/26/t12592516016plemd4ow1bejsn.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 «

5.7 6.1 6 5.9 5.8 5.7 5.6 5.4 5.4 5.5 5.6 5.7 5.9 6.1 6 5.8 5.8 5.7 5.5 5.3 5.2 5.2 5 5.1 5.1 5.2 4.9 4.8 4.5 4.5 4.4 4.4 4.2 4.1 3.9 3.8 3.9 4.2 4.1 3.8 3.6 3.7 3.5 3.4 3.1 3.1 3.1 3.2 3.3 3.5 3.6 3.5 3.3 3.2 3.1 3.2 3 3 3.1 3.4

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	0.213328	1.6386	0.053309
2	0.047942	0.3682	0.357003
3	-0.231186	-1.7758	0.040464
4	0.083929	0.6447	0.260819
5	-0.197868	-1.5199	0.066945
6	-0.179874	-1.3816	0.086146
7	-0.19345	-1.4859	0.071313
8	0.050519	0.388	0.34969
9	-0.039542	-0.3037	0.381202
10	0.111576	0.857	0.197448
11	0.143613	1.1031	0.137228
12	0.429017	3.2953	0.000833
13	0.139211	1.0693	0.144645
14	0.024428	0.1876	0.425902
15	-0.231487	-1.7781	0.040271
16	-0.067022	-0.5148	0.304307
17	-0.131201	-1.0078	0.15884
18	-0.032543	-0.25	0.401741
19	-0.215803	-1.6576	0.051352
20	-0.051337	-0.3943	0.34738
21	-0.099151	-0.7616	0.224667
22	0.072162	0.5543	0.290739
23	-0.008034	-0.0617	0.475501
24	0.200535	1.5403	0.064412
25	0.048845	0.3752	0.354434
26	0.033761	0.2593	0.398145
27	-0.153677	-1.1804	0.121285
28	0.029822	0.2291	0.409804
29	-0.115021	-0.8835	0.190279
30	-0.090179	-0.6927	0.245614
31	-0.262413	-2.0156	0.0242
32	-0.092609	-0.7113	0.239838
33	-0.136244	-1.0465	0.149796
34	0.026712	0.2052	0.419069
35	0.087301	0.6706	0.252555
36	0.220546	1.694	0.047765

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.213328	1.6386	0.053309
2	0.002549	0.0196	0.492222
3	-0.253468	-1.9469	0.028155
4	0.206721	1.5879	0.058833
5	-0.280297	-2.153	0.017709
6	-0.167744	-1.2885	0.101306
7	-0.005094	-0.0391	0.484461
8	-0.034543	-0.2653	0.395839
9	-0.090998	-0.699	0.243659
10	0.126844	0.9743	0.166941
11	0.105962	0.8139	0.209486
12	0.320327	2.4605	0.008411
13	0.029549	0.227	0.410615
14	-0.015093	-0.1159	0.45405
15	-0.079603	-0.6114	0.271628
16	-0.045813	-0.3519	0.363086
17	0.032156	0.247	0.402885
18	0.062176	0.4776	0.317357
19	-0.165226	-1.2691	0.10469
20	-0.057033	-0.4381	0.331466
21	-0.138879	-1.0668	0.145215
22	-0.12188	-0.9362	0.176499
23	-0.088118	-0.6768	0.250574
24	-0.003023	-0.0232	0.490777
25	-0.071462	-0.5489	0.29257
26	-0.036007	-0.2766	0.391537
27	-0.008028	-0.0617	0.475518
28	0.091196	0.7005	0.243187
29	-0.097123	-0.746	0.229309
30	-0.096183	-0.7388	0.231479
31	-0.086807	-0.6668	0.253758
32	-0.092923	-0.7138	0.239097
33	-0.065773	-0.5052	0.307645
34	-0.031623	-0.2429	0.404463
35	0.096423	0.7406	0.230925
36	0.002169	0.0167	0.493381

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592516016plemd4ow1bejsn/176w61259251383.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592516016plemd4ow1bejsn/176w61259251383.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592516016plemd4ow1bejsn/2k9l01259251383.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/26/t12592516016plemd4ow1bejsn/2k9l01259251383.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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