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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: Sun, 07 Dec 2008 11:25:19 -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/07/t1228674413iebgb3jq5etik4r.htm/, Retrieved Sun, 07 Dec 2008 18:26:57 +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/07/t1228674413iebgb3jq5etik4r.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	5 seconds
R Server	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.568941	-3.9005	0.000152
2	0.094041	0.6447	0.261124
3	0.075802	0.5197	0.302865
4	-0.167888	-1.151	0.127781
5	0.07003	0.4801	0.31669
6	-0.056917	-0.3902	0.349074
7	0.094844	0.6502	0.259358
8	-0.034718	-0.238	0.406452
9	-0.012456	-0.0854	0.466156
10	-0.040731	-0.2792	0.390645
11	0.20606	1.4127	0.082169
12	-0.203116	-1.3925	0.085163
13	0.043889	0.3009	0.382414
14	0.016989	0.1165	0.453889
15	-0.060274	-0.4132	0.340663
16	-0.006257	-0.0429	0.482984
17	0.013279	0.091	0.463926
18	0.156398	1.0722	0.14455
19	-0.227242	-1.5579	0.062984
20	0.225525	1.5461	0.064392
21	-0.128178	-0.8787	0.192006
22	0.025362	0.1739	0.431357
23	-0.000439	-0.003	0.498805
24	-0.1201	-0.8234	0.20723
25	0.201633	1.3823	0.086703
26	-0.172855	-1.185	0.120981
27	0.063563	0.4358	0.332501
28	0.111712	0.7659	0.223796
29	-0.044926	-0.308	0.379722
30	-0.115941	-0.7949	0.215347
31	0.115037	0.7887	0.217137
32	-0.124059	-0.8505	0.199677
33	0.085162	0.5838	0.281058
34	-0.021643	-0.1484	0.44134
35	0.033585	0.2302	0.409449
36	0.008792	0.0603	0.476097
37	-0.106185	-0.728	0.235123
38	0.131758	0.9033	0.185489
39	-0.07064	-0.4843	0.315216
40	0.028197	0.1933	0.423776
41	0.021802	0.1495	0.440912
42	-0.109167	-0.7484	0.228971
43	0.072248	0.4953	0.311345
44	-0.017191	-0.1179	0.453342
45	0.02488	0.1706	0.432647
46	-0.010725	-0.0735	0.47085
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.568941	-3.9005	0.000152
2	-0.339571	-2.328	0.012134
3	-0.076416	-0.5239	0.301411
4	-0.192013	-1.3164	0.097216
5	-0.203571	-1.3956	0.084695
6	-0.260712	-1.7874	0.040165
7	-0.103743	-0.7112	0.24023
8	-0.061109	-0.4189	0.338584
9	-0.088846	-0.6091	0.272696
10	-0.231134	-1.5846	0.059885
11	0.146791	1.0064	0.1597
12	0.101031	0.6926	0.245973
13	-0.006578	-0.0451	0.48211
14	-0.082126	-0.563	0.288046
15	-0.035473	-0.2432	0.404458
16	-0.126809	-0.8694	0.194535
17	-0.194139	-1.3309	0.094814
18	0.026731	0.1833	0.427692
19	-0.152933	-1.0485	0.149896
20	0.048475	0.3323	0.370561
21	0.032067	0.2198	0.413475
22	0.042168	0.2891	0.386892
23	0.061549	0.422	0.33749
24	-0.101532	-0.6961	0.244908
25	0.045123	0.3093	0.379212
26	-0.009872	-0.0677	0.473163
27	-0.077756	-0.5331	0.29825
28	0.040497	0.2776	0.391256
29	0.152308	1.0442	0.150873
30	0.021113	0.1447	0.442766
31	-0.049487	-0.3393	0.36796
32	-0.129324	-0.8866	0.189905
33	0.026792	0.1837	0.427529
34	0.03769	0.2584	0.398617
35	0.099575	0.6827	0.249089
36	-0.015225	-0.1044	0.458656
37	-0.042806	-0.2935	0.385229
38	-0.009242	-0.0634	0.474874
39	-0.035767	-0.2452	0.403681
40	-0.056609	-0.3881	0.349849
41	0.131744	0.9032	0.185515
42	-0.027779	-0.1904	0.424891
43	-0.081208	-0.5567	0.290174
44	0.022354	0.1533	0.439428
45	-0.016195	-0.111	0.456033
46	-0.153026	-1.0491	0.14975
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674413iebgb3jq5etik4r/1zb981228674314.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674413iebgb3jq5etik4r/1zb981228674314.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674413iebgb3jq5etik4r/2wgfz1228674314.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674413iebgb3jq5etik4r/2wgfz1228674314.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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