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*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: Tue, 02 Dec 2008 07:55:43 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2008/Dec/02/t12282298096upxarnk74wqpbz.htm/, Retrieved Tue, 02 Dec 2008 14:56:51 +0000

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/2008/Dec/02/t12282298096upxarnk74wqpbz.htm/},
    year = {2008},
}
@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 = {2008},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

Feedback Forum:

2008-11-27 13:41:43 [a2386b643d711541400692649981f2dc] [reply] 
test

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

1202454.6 1201423.4 1505916 1513377.6 1977605.3 1873829.6 1424049.1 1322740 1584825.5 1680460.3 1648573.7 3095468.7 1307982.9 1367588.9 1572718.3 1611602.9 1641196.4 1845262.4 1464237.6 1402385.7 2077099.8 1691129.6 1729012.7 3347792.1 1365087.7 1545460 1844355.1 1775549.8 1721779.2 2128726.1 1664319.9 1769471.4 1904578.4 1872042.3 1802181 3222199.4 1491414.2 1658519.2 2079206.9 1748767.4 2084447.4 2067181.6 1718122.8 1782337.1 1958118.4 2028681.3 2076128.1 3383873 1870369 1654852.9 2074338.3 1888653.7 1991137.8 2168237.9 1867424.1 1842359.6 1927476.3 2065555.4 2455608.5 3336170.9

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	-0.126245	-0.8747	0.193059
2	0.075684	0.5244	0.301222
3	0.020951	0.1452	0.442598
4	-0.212469	-1.472	0.07377
5	-0.05824	-0.4035	0.344188
6	-0.047365	-0.3282	0.372111
7	0.084101	0.5827	0.281422
8	-0.023038	-0.1596	0.436927
9	-0.021698	-0.1503	0.440569
10	-0.012821	-0.0888	0.464794
11	0.086814	0.6015	0.27518
12	-0.22076	-1.5295	0.066356
13	-0.104744	-0.7257	0.235777
14	-0.071097	-0.4926	0.312279
15	-0.091714	-0.6354	0.264088
16	0.007551	0.0523	0.479248
17	0.114819	0.7955	0.215124
18	0.197388	1.3675	0.088912
19	-0.085678	-0.5936	0.277785
20	0.195972	1.3577	0.090449
21	-0.078805	-0.546	0.293806
22	-0.031717	-0.2197	0.413502
23	-0.057984	-0.4017	0.344835
24	-0.081123	-0.562	0.288354
25	0.128638	0.8912	0.188625
26	-0.084743	-0.5871	0.279939
27	0.101902	0.706	0.241801
28	0.097702	0.6769	0.25086
29	-0.082157	-0.5692	0.285938
30	-0.184408	-1.2776	0.103765
31	-0.016154	-0.1119	0.455677
32	-0.132317	-0.9167	0.181937
33	0.039709	0.2751	0.392205
34	0.03651	0.253	0.400693
35	0.068331	0.4734	0.319033
36	0.008047	0.0558	0.477884

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.126245	-0.8747	0.193059
2	0.060714	0.4206	0.337948
3	0.038341	0.2656	0.395829
4	-0.214541	-1.4864	0.071858
5	-0.119779	-0.8299	0.205366
6	-0.039748	-0.2754	0.392103
7	0.103916	0.72	0.237523
8	-0.03865	-0.2678	0.395011
9	-0.091825	-0.6362	0.26384
10	-0.057046	-0.3952	0.347213
11	0.137923	0.9556	0.172041
12	-0.204523	-1.417	0.081473
13	-0.238036	-1.6492	0.052822
14	-0.140893	-0.9761	0.166946
15	-0.03204	-0.222	0.412636
16	-0.080839	-0.5601	0.289019
17	-0.015158	-0.105	0.4584
18	0.130907	0.9069	0.184482
19	-0.066513	-0.4608	0.323505
20	0.150723	1.0442	0.150803
21	-0.032513	-0.2253	0.411368
22	-0.026016	-0.1802	0.42886
23	-0.070521	-0.4886	0.313682
24	-0.092761	-0.6427	0.26175
25	0.046767	0.324	0.373668
26	-0.086279	-0.5978	0.276406
27	-0.035399	-0.2452	0.403655
28	0.052757	0.3655	0.358167
29	-0.025839	-0.179	0.429339
30	-0.183822	-1.2736	0.104477
31	-0.086963	-0.6025	0.274839
32	-0.026322	-0.1824	0.428032
33	0.09305	0.6447	0.261106
34	-0.048491	-0.336	0.369183
35	-0.054968	-0.3808	0.352504
36	-0.116697	-0.8085	0.211395

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282298096upxarnk74wqpbz/1wksa1228229741.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282298096upxarnk74wqpbz/1wksa1228229741.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282298096upxarnk74wqpbz/2us141228229741.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/02/t12282298096upxarnk74wqpbz/2us141228229741.ps (open in new window)

Parameters (Session):

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

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 (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='lags',ylab='ACF')

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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