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s2 acf d1D1

*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 11:26:56 -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/t1228674454ll9uervubql8cjn.htm/, Retrieved Sun, 07 Dec 2008 18:27:34 +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/t1228674454ll9uervubql8cjn.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 «

137 136 133 126 120 114 116 153 162 161 149 139 135 130 127 122 117 112 113 149 157 157 147 137 132 125 123 117 114 111 112 144 150 149 134 123 116 117 111 105 102 95 93 124 130 124 115 106 105 105 101 95 93 84 87 116 120 117 109 105

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	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.09187	-0.6298	0.265929
2	0.154918	1.0621	0.146817
3	-0.12566	-0.8615	0.196674
4	0.018648	0.1278	0.449408
5	-0.167771	-1.1502	0.127944
6	-0.046807	-0.3209	0.374857
7	0.139386	0.9556	0.172086
8	-0.046977	-0.3221	0.374418
9	0.107942	0.74	0.231486
10	-0.038826	-0.2662	0.395634
11	0.420461	2.8825	0.002965
12	-0.198719	-1.3623	0.089791
13	0.01914	0.1312	0.448081
14	-0.098587	-0.6759	0.251215
15	-0.033303	-0.2283	0.410197
16	-0.266801	-1.8291	0.036867
17	0.000985	0.0068	0.49732
18	-0.022807	-0.1564	0.438211
19	-0.102	-0.6993	0.243914
20	0.071126	0.4876	0.314046
21	-0.002426	-0.0166	0.493399
22	0.178182	1.2216	0.113984
23	-0.14953	-1.0251	0.155275
24	-0.078885	-0.5408	0.295597
25	0.008124	0.0557	0.47791
26	-0.029127	-0.1997	0.421294
27	-0.09743	-0.6679	0.253718
28	-0.026672	-0.1829	0.427848
29	0.020126	0.138	0.445423
30	0.006834	0.0468	0.481416
31	0.088258	0.6051	0.274024
32	0.06737	0.4619	0.323155
33	-0.024835	-0.1703	0.432767
34	-0.076942	-0.5275	0.300168
35	-0.055945	-0.3835	0.351526
36	0.017828	0.1222	0.451621
37	0.023021	0.1578	0.437636
38	0.004869	0.0334	0.486755
39	-0.018699	-0.1282	0.44927
40	-0.002952	-0.0202	0.491971
41	-0.066116	-0.4533	0.326221
42	0.052223	0.358	0.360964
43	0.039042	0.2677	0.395067
44	-0.005637	-0.0386	0.484668
45	-0.010609	-0.0727	0.471165
46	-0.052551	-0.3603	0.360129
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	-0.09187	-0.6298	0.265929
2	0.147724	1.0127	0.158183
3	-0.103058	-0.7065	0.241673
4	-0.021238	-0.1456	0.442429
5	-0.140129	-0.9607	0.170815
6	-0.084454	-0.579	0.282681
7	0.182908	1.254	0.10803
8	-0.043385	-0.2974	0.383723
9	0.047666	0.3268	0.372643
10	-0.009624	-0.066	0.473838
11	0.405078	2.7771	0.003927
12	-0.111366	-0.7635	0.224495
13	-0.135173	-0.9267	0.179409
14	0.013792	0.0946	0.462536
15	-0.029659	-0.2033	0.419877
16	-0.227957	-1.5628	0.062405
17	-0.051249	-0.3513	0.363449
18	-0.142821	-0.9791	0.166264
19	-0.132113	-0.9057	0.184851
20	0.026452	0.1813	0.428439
21	-0.020094	-0.1378	0.44551
22	-0.018172	-0.1246	0.450695
23	0.050203	0.3442	0.366126
24	-0.135441	-0.9285	0.178937
25	0.135525	0.9291	0.178789
26	0.094705	0.6493	0.259663
27	0.043815	0.3004	0.382605
28	-0.133361	-0.9143	0.182619
29	0.015802	0.1083	0.457095
30	0.152345	1.0444	0.150816
31	0.009268	0.0635	0.474802
32	-0.068446	-0.4692	0.320533
33	-0.192124	-1.3171	0.09709
34	-0.078199	-0.5361	0.297207
35	0.073527	0.5041	0.308281
36	-0.097312	-0.6671	0.253974
37	-0.060038	-0.4116	0.341252
38	0.027296	0.1871	0.426182
39	-0.025463	-0.1746	0.431086
40	-0.062753	-0.4302	0.334503
41	-0.045227	-0.3101	0.378944
42	0.018089	0.124	0.450917
43	0.049668	0.3405	0.367497
44	0.053781	0.3687	0.357002
45	0.016768	0.115	0.454486
46	-0.018793	-0.1288	0.449018
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/t1228674454ll9uervubql8cjn/1fpqu1228674410.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674454ll9uervubql8cjn/1fpqu1228674410.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674454ll9uervubql8cjn/2tmgy1228674410.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/07/t1228674454ll9uervubql8cjn/2tmgy1228674410.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; 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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