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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: Fri, 05 Dec 2008 10:51:28 -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/05/t1228499618kqmck0hxm0ak1g3.htm/, Retrieved Fri, 05 Dec 2008 17:53:38 +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/05/t1228499618kqmck0hxm0ak1g3.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 «

2150.3 2425.7 2642.0 2291.5 2570.7 2526.6 2266.2 1981.9 2630.3 2942.6 2713.4 2437.5 2678.9 2582.0 2780.0 2512.4 2658.4 2708.7 2518.7 2018.3 2579.3 2693.5 2468.8 2122.8 2412.8 2370.6 2642.5 2634.2 2457.5 2579.1 2505.9 1903.2 2660.2 2844.1 2607.1 2356.0 2659.9 2531.4 2845.7 2654.3 2588.2 2789.6 2533.1 1846.5 2796.3 2895.6 2472.2 2584.4 2630.4 2663.1 3176.2 2856.7 2551.4 3088.7 2628.3 2226.2 3023.6 3077.9 3084.1 2990.3 2949.6 3014.7 3517.7 3121.2 3067.4 3174.6 2676.3 2424.0 3195.1 3146.6 3506.7 3528.5

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.451283	3.8293	0.000136
2	0.186979	1.5866	0.058497
3	0.335448	2.8464	0.002878
4	0.264393	2.2434	0.013973
5	0.247935	2.1038	0.019445
6	0.413921	3.5122	0.000386
7	0.233155	1.9784	0.025856
8	0.311324	2.6417	0.005056
9	0.249728	2.119	0.01877
10	0.000721	0.0061	0.497566
11	0.20127	1.7078	0.045988
12	0.52094	4.4203	1.7e-05
13	0.133873	1.136	0.129872
14	-0.008617	-0.0731	0.470958
15	0.067824	0.5755	0.283371
16	0.016274	0.1381	0.445277
17	0.084518	0.7172	0.237799
18	0.165087	1.4008	0.082784
19	0.004669	0.0396	0.484253
20	0.137703	1.1684	0.12324
21	0.054805	0.465	0.321655
22	-0.137514	-1.1668	0.123561
23	0.052697	0.4471	0.328055
24	0.248809	2.1112	0.019113
25	-0.031557	-0.2678	0.394822
26	-0.110443	-0.9371	0.17591
27	-0.12431	-1.0548	0.147521
28	-0.102845	-0.8727	0.192872
29	-0.037377	-0.3172	0.376022
30	-0.015875	-0.1347	0.446612
31	-0.094428	-0.8012	0.212813
32	-0.031653	-0.2686	0.39451
33	-0.123243	-1.0458	0.149586
34	-0.225342	-1.9121	0.029922
35	-0.083384	-0.7075	0.240759
36	0.043229	0.3668	0.357419

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.451283	3.8293	0.000136
2	-0.020942	-0.1777	0.429728
3	0.325066	2.7583	0.00368
4	-0.010142	-0.0861	0.465829
5	0.17449	1.4806	0.071538
6	0.254064	2.1558	0.017221
7	-0.119824	-1.0167	0.156341
8	0.328578	2.7881	0.003389
9	-0.259834	-2.2048	0.015333
10	-0.10886	-0.9237	0.179363
11	0.233901	1.9847	0.025494
12	0.278496	2.3631	0.010413
13	-0.327467	-2.7786	0.003479
14	-0.162639	-1.38	0.085923
15	-0.072154	-0.6122	0.271151
16	0.02995	0.2541	0.400057
17	0.066449	0.5638	0.287308
18	-0.054052	-0.4586	0.323935
19	-0.056189	-0.4768	0.317482
20	0.049089	0.4165	0.339128
21	0.009281	0.0788	0.468723
22	0.115995	0.9842	0.164145
23	-0.032081	-0.2722	0.393118
24	0.000315	0.0027	0.498939
25	-0.097786	-0.8297	0.204715
26	-0.075868	-0.6438	0.260888
27	-0.073987	-0.6278	0.266062
28	0.045436	0.3855	0.350488
29	-0.141253	-1.1986	0.117313
30	0.0122	0.1035	0.458919
31	0.029877	0.2535	0.400297
32	-0.147632	-1.2527	0.107185
33	0.106211	0.9012	0.185235
34	-0.033481	-0.2841	0.388577
35	0.055538	0.4713	0.319443
36	-0.033214	-0.2818	0.389441

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228499618kqmck0hxm0ak1g3/1fwwo1228499484.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228499618kqmck0hxm0ak1g3/1fwwo1228499484.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228499618kqmck0hxm0ak1g3/206511228499484.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/05/t1228499618kqmck0hxm0ak1g3/206511228499484.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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