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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: Sat, 06 Dec 2008 11:14:47 -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/06/t122858738813tcuskyxw27rct.htm/, Retrieved Sat, 06 Dec 2008 18:16:28 +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/06/t122858738813tcuskyxw27rct.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

Post a new message

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

2648.9 2669.6 3042.3 2604.2 2732.1 2621.7 2483.7 2479.3 2684.6 2834.7 2566.1 2251.2 2350 2299.8 2542.8 2530.2 2508.1 2616.8 2534.1 2181.8 2578.9 2841.9 2529.9 2103.2 2326.2 2452.6 2782.1 2727.3 2648.2 2760.7 2613 2225.4 2713.9 2923.3 2707 2473.9 2521 2531.8 3068.8 2826.9 2674.2 2966.6 2798.8 2629.6 3124.6 3115.7 3083 2863.9 2728.7 2789.4 3225.7 3148.2 2836.5 3153.5 2656.9 2834.7 3172.5 2998.8 3103.1 2735.6 2818.1 2874.4 3438.5 2949.1 3306.8 3530 3003.8 3206.4 3514.6 3522.6 3525.5 2996.2 3231.1 3030 3541.7 3113.2 3390.8 3424.2 3079.8 3123.4 3317.1 3579.9 3317.9 2668.1 3609.2 3535.2 3644.7 3925.7 3663.2 3905.3 3990 3695.8

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	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.338704	-3.231	0.000859
2	-0.201711	-1.9242	0.028727
3	0.035123	0.3351	0.369177
4	-0.076866	-0.7333	0.232644
5	0.096381	0.9194	0.180155
6	0.071002	0.6773	0.249963
7	-0.044482	-0.4243	0.336162
8	0.066653	0.6358	0.263242
9	-0.048539	-0.463	0.322222
10	-0.194742	-1.8577	0.033221
11	-0.128628	-1.227	0.111487
12	0.576269	5.4973	0
13	-0.195294	-1.863	0.032845
14	-0.10372	-0.9894	0.16254
15	-0.096152	-0.9172	0.180722
16	-0.021876	-0.2087	0.417582
17	0.11878	1.1331	0.130076
18	0.013188	0.1258	0.450082
19	-0.004495	-0.0429	0.482946
20	0.115959	1.1062	0.135782
21	-0.125961	-1.2016	0.11632
22	-0.170966	-1.6309	0.053183
23	0.041927	0.4	0.345061
24	0.316534	3.0195	0.001642
25	-0.104069	-0.9928	0.16173
26	-0.009041	-0.0862	0.465732
27	-0.153203	-1.4615	0.073666
28	0.013067	0.1246	0.450538
29	0.089019	0.8492	0.199004
30	-0.016807	-0.1603	0.436489
31	0.04401	0.4198	0.3378
32	0.052957	0.5052	0.307328
33	-0.158708	-1.514	0.066748
34	-0.064771	-0.6179	0.269099
35	0.013444	0.1282	0.449119
36	0.240623	2.2954	0.012004

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.338704	-3.231	0.000859
2	-0.357437	-3.4097	0.000486
3	-0.231401	-2.2074	0.014899
4	-0.314367	-2.9989	0.001747
5	-0.177724	-1.6954	0.046712
6	-0.069627	-0.6642	0.254121
7	-0.034241	-0.3266	0.372347
8	0.12939	1.2343	0.110134
9	0.13711	1.3079	0.097093
10	-0.119565	-1.1406	0.12852
11	-0.49615	-4.733	4e-06
12	0.225683	2.1529	0.016987
13	0.063967	0.6102	0.271622
14	0.112213	1.0704	0.143626
15	-0.152841	-1.458	0.07414
16	-0.058535	-0.5584	0.288974
17	-0.110217	-1.0514	0.147929
18	-0.12175	-1.1614	0.124255
19	-0.03818	-0.3642	0.35827
20	0.092751	0.8848	0.189301
21	0.04106	0.3917	0.348102
22	-0.089322	-0.8521	0.198204
23	0.065894	0.6286	0.265595
24	0.0341	0.3253	0.372853
25	-0.006962	-0.0664	0.473599
26	0.072265	0.6894	0.246173
27	0.112778	1.0758	0.142422
28	0.077113	0.7356	0.231931
29	-0.004127	-0.0394	0.484341
30	0.008163	0.0779	0.469052
31	0.01201	0.1146	0.45452
32	-0.088115	-0.8406	0.201397
33	-0.140346	-1.3388	0.091982
34	0.016761	0.1599	0.436661
35	-0.060655	-0.5786	0.282141
36	0.049398	0.4712	0.319302

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t122858738813tcuskyxw27rct/1xw1p1228587282.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t122858738813tcuskyxw27rct/1xw1p1228587282.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t122858738813tcuskyxw27rct/277f81228587282.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/06/t122858738813tcuskyxw27rct/277f81228587282.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 1 ; 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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