ACF 1,0,1

*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 12:51:59 +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/t1293626995uwhqikzhqnykisq.htm/, Retrieved Wed, 29 Dec 2010 13:49:56 +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/t1293626995uwhqikzhqnykisq.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:

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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 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 0.145263 1.578 0.058626 2 0.00896 0.0973 0.461315 3 0.170657 1.8538 0.033132 4 0.042817 0.4651 0.321356 5 0.062118 0.6748 0.250568 6 0.134507 1.4611 0.07332 7 0.067607 0.7344 0.232081 8 0.283285 3.0773 0.001299 9 0.145591 1.5815 0.058217 10 0.056389 0.6125 0.27068 11 0.101326 1.1007 0.136639 12 -0.137321 -1.4917 0.069225 13 -0.070588 -0.7668 0.222373 14 0.041013 0.4455 0.328381 15 0.067928 0.7379 0.231024 16 0.051962 0.5645 0.286759 17 0.071156 0.7729 0.220549 18 0.044104 0.4791 0.316379 19 -0.059333 -0.6445 0.260243 20 -0.064991 -0.706 0.240796 21 -0.034288 -0.3725 0.355109 22 -0.130718 -1.42 0.079128 23 -0.048146 -0.523 0.300978 24 -0.120247 -1.3062 0.097011 25 -0.0368 -0.3997 0.345032 26 -0.067347 -0.7316 0.23294 27 -0.143162 -1.5551 0.061296 28 -0.021299 -0.2314 0.408715 29 -0.072092 -0.7831 0.217564 30 -0.166508 -1.8087 0.036519 31 -0.078442 -0.8521 0.197943 32 -0.168006 -1.825 0.035265 33 -0.16096 -1.7485 0.041491 34 -0.053609 -0.5823 0.280724 35 -0.068565 -0.7448 0.228935 36 0.007197 0.0782 0.46891 37 -0.032565 -0.3537 0.36208 38 -0.128174 -1.3923 0.08322 39 -0.066969 -0.7275 0.234188 40 -0.12762 -1.3863 0.084134 41 -0.078359 -0.8512 0.198192 42 -0.036429 -0.3957 0.346512 43 0.005966 0.0648 0.474218 44 0.097768 1.062 0.145196 45 0.005667 0.0616 0.47551 46 -0.016697 -0.1814 0.42819 47 -0.097212 -1.056 0.146565 48 -0.114156 -1.2401 0.108708 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.145263 1.578 0.058626 2 -0.012403 -0.1347 0.446526 3 0.174858 1.8994 0.029974 4 -0.008126 -0.0883 0.464905 5 0.065168 0.7079 0.2402 6 0.092589 1.0058 0.158291 7 0.034707 0.377 0.353421 8 0.273958 2.9759 0.001772 9 0.042331 0.4598 0.323242 10 0.045031 0.4892 0.312819 11 0.008863 0.0963 0.461731 12 -0.223291 -2.4256 0.0084 13 -0.074876 -0.8134 0.208825 14 -0.062592 -0.6799 0.248944 15 0.081636 0.8868 0.188496 16 -0.025116 -0.2728 0.392731 17 0.031084 0.3377 0.368111 18 0.038824 0.4217 0.336993 19 -0.105921 -1.1506 0.126112 20 0.03737 0.4059 0.342759 21 -0.001795 -0.0195 0.492239 22 -0.108314 -1.1766 0.120863 23 -0.028545 -0.3101 0.378523 24 -0.222332 -2.4151 0.008632 25 -0.007246 -0.0787 0.468697 26 -0.138999 -1.5099 0.066868 27 -0.028389 -0.3084 0.379168 28 0.108416 1.1777 0.120642 29 -0.035581 -0.3865 0.349906 30 0.048981 0.5321 0.297838 31 -0.061011 -0.6627 0.254393 32 -0.088206 -0.9582 0.169969 33 -0.060751 -0.6599 0.255294 34 -0.057124 -0.6205 0.268053 35 0.07135 0.7751 0.219927 36 -0.001024 -0.0111 0.495572 37 0.046216 0.502 0.30829 38 -0.05805 -0.6306 0.264766 39 -0.029877 -0.3246 0.373048 40 0.009405 0.1022 0.459399 41 0.042315 0.4597 0.323305 42 0.038083 0.4137 0.339926 43 0.042263 0.4591 0.323504 44 0.076701 0.8332 0.203211 45 -0.055632 -0.6043 0.273396 46 -0.03525 -0.3829 0.351238 47 -0.105732 -1.1485 0.126534 48 -0.070356 -0.7643 0.223118

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626995uwhqikzhqnykisq/1seln1293627115.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626995uwhqikzhqnykisq/1seln1293627115.ps (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626995uwhqikzhqnykisq/2seln1293627115.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/29/t1293626995uwhqikzhqnykisq/2seln1293627115.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; 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')

Copyright

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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