Home » date » 2010 » Dec » 29 »

ACF 1,0,0

*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: Wed, 29 Dec 2010 12:46:40 +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/29/t1293626871862hmkb34v6sc9n.htm/, Retrieved Wed, 29 Dec 2010 13:47:51 +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/29/t1293626871862hmkb34v6sc9n.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 «
621 587 655 517 646 657 382 345 625 654 606 510 614 647 580 614 636 388 356 639 753 611 639 630 586 695 552 619 681 421 307 754 690 644 643 608 651 691 627 634 731 475 337 803 722 590 724 627 696 825 677 656 785 412 352 839 729 696 641 695 638 762 635 721 854 418 367 824 687 601 676 740 691 683 594 729 731 386 331 706 715 657 653 642 643 718 654 632 731 392 344 792 852 649 629 685 617 715 715 629 916 531 357 917 828 708 858 775 785 1006 789 734 906 532 387 991 841 892 782 813 793 978 775 797 946 594 438 1022 868 795
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time2 seconds
R Server'RServer@AstonUniversity' @ vre.aston.ac.uk


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.2359832.69060.004034
2-0.132944-1.51580.066
30.2525242.87920.002332
40.1521271.73450.042598
50.0875680.99840.159963
60.2731313.11420.001135
70.0710690.81030.20962
80.137991.57330.059037
90.1987082.26560.012564
10-0.138061-1.57410.058943
110.2106252.40150.008872
120.7499268.55050
130.1016981.15950.124181
14-0.182768-2.08390.019565
150.1544291.76080.040316
160.0562870.64180.261075
170.023360.26630.395196
180.1552781.77040.039499
19-0.022378-0.25510.399506
200.0309970.35340.362174
210.0927721.05780.146063
22-0.222196-2.53340.006242
230.1102691.25730.105456
240.5512836.28560
250.0159460.18180.428006
26-0.247057-2.81690.002803
270.0319660.36450.358048
28-0.010154-0.11580.454007
29-0.044321-0.50530.30709
300.0251560.28680.387353
31-0.08723-0.99460.160895
32-0.049757-0.56730.285738
33-0.00994-0.11330.454972
34-0.223902-2.55290.00592
350.0471540.53760.295871
360.4478665.10651e-06
370.0041280.04710.481268
38-0.256835-2.92840.002012
39-0.00262-0.02990.488106
40-0.035256-0.4020.34418
41-0.079932-0.91140.181894
420.0199920.22790.410026
43-0.074776-0.85260.197729
44-0.041722-0.47570.317542
450.0070380.08020.468084
46-0.171943-1.96050.026041
470.0389470.44410.328866
480.3783194.31351.6e-05


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.2359832.69060.004034
2-0.199756-2.27760.012193
30.3720394.24192.1e-05
4-0.085118-0.97050.166801
50.239292.72830.003623
60.1374521.56720.05975
7-0.052488-0.59850.275288
80.2650183.02170.001514
9-0.114594-1.30660.096833
10-0.15412-1.75720.040615
110.3895924.4429e-06
120.5596166.38060
13-0.226286-2.58010.005495
14-0.107298-1.22340.111698
15-0.20128-2.29490.011669
16-0.081777-0.93240.17643
17-0.060549-0.69040.245599
18-0.110116-1.25550.105771
19-0.022395-0.25530.399432
20-0.112396-1.28150.101147
210.0489230.55780.288967
22-0.149298-1.70230.045548
230.0343090.39120.34815
240.0847070.96580.167966
250.1171231.33540.092038
26-0.041337-0.47130.319102
27-0.085486-0.97470.165762
280.0616390.70280.241719
29-0.094104-1.07290.142641
30-0.041331-0.47120.319128
310.0044790.05110.479674
32-0.068991-0.78660.216468
330.0119590.13640.445877
340.0858480.97880.164744
35-0.04708-0.53680.296165
360.1941652.21380.014292
370.0180570.20590.418604
380.0859730.98020.164393
390.0083540.09520.462134
40-0.126293-1.440.076141
410.0258050.29420.384528
420.0020920.02390.490504
430.024480.27910.3903
440.0551140.62840.265425
450.0222890.25410.399897
46-0.001263-0.01440.494266
47-0.043083-0.49120.312049
48-0.100519-1.14610.126931
 
Charts produced by software:
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626871862hmkb34v6sc9n/112lq1293626797.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626871862hmkb34v6sc9n/112lq1293626797.ps (open in new window)


http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626871862hmkb34v6sc9n/2cbkt1293626797.png (open in new window)
http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626871862hmkb34v6sc9n/2cbkt1293626797.ps (open in new window)


 
Parameters (Session):
par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = White Noise ; par7 = 0.95 ;
 
Parameters (R input):
par1 = 48 ; 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')
 





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Software written by Ed van Stee & Patrick Wessa


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