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ACFKoffied1

*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, 20 Dec 2010 13:19:03 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/20/t1292851309x7wz98rw3eq3w37.htm/, Retrieved Mon, 20 Dec 2010 14:21:49 +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/2010/Dec/20/t1292851309x7wz98rw3eq3w37.htm/},
    year = {2010},
}
@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 = {2010},
    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 «

1.64 1.65 1.65 1.65 1.66 1.66 1.67 1.67 1.68 1.68 1.68 1.68 1.69 1.69 1.7 1.7 1.71 1.71 1.71 1.71 1.72 1.72 1.72 1.73 1.73 1.73 1.74 1.75 1.75 1.76 1.76 1.77 1.77 1.78 1.79 1.8 1.8 1.81 1.81 1.81 1.81 1.82 1.82 1.82 1.83 1.83 1.83 1.84 1.84 1.85 1.85 1.86 1.86 1.86 1.86 1.86

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	'RServer@AstonUniversity' @ vre.aston.ac.uk

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.421212	-3.1238	0.001424
2	0.172727	1.281	0.102788
3	-0.066667	-0.4944	0.311492
4	0.178788	1.3259	0.095172
5	-0.333333	-2.4721	0.008278
6	0.139394	1.0338	0.152883
7	0.006061	0.0449	0.482156
8	0.175758	1.3035	0.098925
9	-0.260606	-1.9327	0.029214
10	0.106061	0.7866	0.217456
11	-0.057576	-0.427	0.335526
12	-0.009091	-0.0674	0.473246
13	-0.09697	-0.7191	0.237548
14	0.072727	0.5394	0.295908
15	0.166667	1.236	0.11085
16	-0.193939	-1.4383	0.078009
17	0.021212	0.1573	0.437787
18	0.009091	0.0674	0.473246
19	-0.048485	-0.3596	0.360272
20	-0.106061	-0.7866	0.217456
21	0.139394	1.0338	0.152883
22	-0.069697	-0.5169	0.303654
23	0.054545	0.4045	0.3437
24	-0.184848	-1.3709	0.087992
25	0.136364	1.0113	0.158151
26	-0.148485	-1.1012	0.137804
27	0.051515	0.382	0.35195
28	-0.036364	-0.2697	0.394208
29	0.087879	0.6517	0.258646
30	-0.045455	-0.3371	0.368662
31	0.048485	0.3596	0.360272
32	-0.115152	-0.854	0.198408
33	0.160606	1.1911	0.119367
34	-0.124242	-0.9214	0.180431
35	0.121212	0.8989	0.186304
36	-0.012121	-0.0899	0.464349
37	0.081818	0.6068	0.273247
38	-0.081818	-0.6068	0.273247
39	-0.018182	-0.1348	0.446615
40	0	0	0.5
41	0.018182	0.1348	0.446615
42	-0.115152	-0.854	0.198408
43	0.175758	1.3035	0.098925
44	-0.078788	-0.5843	0.280702
45	0.060606	0.4495	0.327431
46	-0.027273	-0.2023	0.42023
47	-0.009091	-0.0674	0.473246
48	0.009091	0.0674	0.473246

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.421212	-3.1238	0.001424
2	-0.005704	-0.0423	0.483204
3	0.004985	0.037	0.485322
4	0.186338	1.3819	0.086292
5	-0.243883	-1.8087	0.037984
6	-0.136032	-1.0088	0.158734
7	0.075917	0.563	0.287857
8	0.297348	2.2052	0.01582
9	-0.077449	-0.5744	0.284028
10	-0.262355	-1.9457	0.028406
11	-0.143426	-1.0637	0.146062
12	0.07442	0.5519	0.291622
13	0.146733	1.0882	0.140626
14	-0.117411	-0.8707	0.193839
15	0.084811	0.629	0.265984
16	-0.097171	-0.7206	0.237092
17	-0.051149	-0.3793	0.352953
18	-0.044713	-0.3316	0.370727
19	-0.074221	-0.5504	0.292123
20	-0.023814	-0.1766	0.430231
21	0.05102	0.3784	0.353306
22	-0.096458	-0.7154	0.238708
23	-0.092217	-0.6839	0.248454
24	-0.136379	-1.0114	0.158124
25	0.00284	0.0211	0.491636
26	-0.00252	-0.0187	0.492579
27	-0.055481	-0.4115	0.341169
28	-0.05948	-0.4411	0.330429
29	-0.094365	-0.6998	0.243491
30	0.007588	0.0563	0.477663
31	0.102279	0.7585	0.225688
32	-0.099623	-0.7388	0.231577
33	-0.013495	-0.1001	0.460322
34	0.002119	0.0157	0.493758
35	0.084719	0.6283	0.266206
36	0.035218	0.2612	0.397463
37	-0.010502	-0.0779	0.469101
38	-0.056625	-0.4199	0.338081
39	-0.092523	-0.6862	0.247745
40	-0.015407	-0.1143	0.454723
41	0.032823	0.2434	0.404293
42	-0.137586	-1.0204	0.156012
43	0.026173	0.1941	0.423405
44	0.00633	0.0469	0.481364
45	0.04708	0.3492	0.364155
46	0.043534	0.3229	0.374015
47	-0.0902	-0.6689	0.253165
48	-0.079181	-0.5872	0.279728

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292851309x7wz98rw3eq3w37/130vv1292851140.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292851309x7wz98rw3eq3w37/130vv1292851140.ps (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292851309x7wz98rw3eq3w37/230vv1292851140.png (open in new window)

http://www.freestatistics.org/blog/date/2010/Dec/20/t1292851309x7wz98rw3eq3w37/230vv1292851140.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 48 ; 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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