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Workshop 8

*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: Mon, 08 Dec 2008 10:16:45 -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/08/t1228756670197iq8yiasi5n8z.htm/, Retrieved Mon, 08 Dec 2008 17:17:53 +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/08/t1228756670197iq8yiasi5n8z.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 «

103.68 103.64 103.37 104.3 104.15 104.09 104.21 104.27 104 103.36 104.2 104.12 103.79 104.65 103.84 103.98 103.83 104.34 103.76 103.57 103.06 103.06 102.6 103.41 103.15 103.33 103.96 104.91 104.23 103.68 104.16 104.49 104.23 104.21 103.74 103.96 104.02 104.15 103.74 103.23 103.69 103.46 102.14 102.39 102.19 102.02 102.64 103.52 103.32 103.65 104.25 101.74 102.08 101.35 102.79 102.21 101.78 101.25 101.8 103 104.17 104.08 105.24 104.72 104.77 104.39 104.14 105.15 105.07 104.54 106.03 107.24 108.2 109.15 110.1 109.48 109.96 110.13 110.53 110.82 110.06 110.05 109.49 109.95

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	'George Udny Yule' @ 72.249.76.132

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.087326	-0.7956	0.214275
2	0.080775	0.7359	0.231935
3	-0.029519	-0.2689	0.394327
4	0.044641	0.4067	0.342638
5	-0.067774	-0.6174	0.269314
6	0.048671	0.4434	0.329309
7	-0.049386	-0.4499	0.326969
8	-0.074345	-0.6773	0.250045
9	-0.077441	-0.7055	0.24123
10	0.147212	1.3412	0.091762
11	-0.08229	-0.7497	0.227779
12	0.134778	1.2279	0.11148
13	0.175395	1.5979	0.05693
14	0.150004	1.3666	0.087721
15	-0.098202	-0.8947	0.186778
16	-0.0716	-0.6523	0.258001
17	0.029389	0.2677	0.39478
18	-0.053823	-0.4903	0.312591
19	-0.076271	-0.6949	0.244543
20	-0.020523	-0.187	0.42607
21	-0.141886	-1.2926	0.099861
22	-0.046892	-0.4272	0.335168
23	0.067586	0.6157	0.269877
24	0.182778	1.6652	0.049823
25	-0.098881	-0.9008	0.185138
26	-0.121255	-1.1047	0.136244
27	0.166684	1.5186	0.066336
28	-0.164875	-1.5021	0.068436
29	0.019911	0.1814	0.42825
30	-0.049138	-0.4477	0.327779
31	0.040471	0.3687	0.356641
32	-0.116908	-1.0651	0.144963
33	0.094477	0.8607	0.195934
34	-0.067025	-0.6106	0.271558
35	-0.003178	-0.029	0.488484
36	-0.023839	-0.2172	0.414298
37	0.163433	1.4889	0.070146
38	-0.166759	-1.5192	0.06625
39	-0.009085	-0.0828	0.467116
40	-0.041915	-0.3819	0.35177
41	-0.004758	-0.0433	0.482766
42	-0.059824	-0.545	0.293598
43	0.043488	0.3962	0.34649
44	0.060061	0.5472	0.292861
45	-0.049816	-0.4538	0.325562
46	0.013397	0.1221	0.451577
47	0.114806	1.0459	0.149314
48	-0.079468	-0.724	0.235554
49	0.053633	0.4886	0.3132
50	-0.064442	-0.5871	0.279368
51	0.015461	0.1409	0.444161
52	-0.063627	-0.5797	0.281855
53	-0.067347	-0.6136	0.27059
54	-0.028383	-0.2586	0.3983
55	-0.023664	-0.2156	0.414918
56	-0.031817	-0.2899	0.386322
57	0.048952	0.446	0.32839
58	-0.058949	-0.5371	0.296335
59	-0.022597	-0.2059	0.418698
60	0.023852	0.2173	0.414255

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.087326	-0.7956	0.214275
2	0.073711	0.6715	0.251871
3	-0.016766	-0.1527	0.439484
4	0.035453	0.323	0.373758
5	-0.058817	-0.5359	0.296747
6	0.033054	0.3011	0.382032
7	-0.033059	-0.3012	0.382016
8	-0.091849	-0.8368	0.202557
9	-0.080573	-0.7341	0.232491
10	0.143466	1.307	0.097405
11	-0.046622	-0.4247	0.336061
12	0.106509	0.9703	0.167348
13	0.217788	1.9841	0.025272
14	0.166083	1.5131	0.067028
15	-0.085459	-0.7786	0.219223
16	-0.162668	-1.482	0.071067
17	0.026616	0.2425	0.404503
18	-0.026603	-0.2424	0.404548
19	-0.093633	-0.853	0.198046
20	-0.036397	-0.3316	0.370516
21	-0.051915	-0.473	0.318739
22	-0.041687	-0.3798	0.352536
23	0.031688	0.2887	0.386769
24	0.177806	1.6199	0.054525
25	-0.083002	-0.7562	0.225841
26	-0.305061	-2.7792	0.003369
27	0.087847	0.8003	0.212904
28	-0.071084	-0.6476	0.259513
29	0.016466	0.15	0.440559
30	-0.040125	-0.3656	0.357813
31	0.116539	1.0617	0.14572
32	0.012812	0.1167	0.453681
33	0.090886	0.828	0.20502
34	-0.039283	-0.3579	0.36067
35	0.024981	0.2276	0.410262
36	-0.114437	-1.0426	0.150088
37	-0.052197	-0.4755	0.317827
38	-0.06232	-0.5678	0.285864
39	0.048811	0.4447	0.328851
40	0.032234	0.2937	0.384872
41	-0.09583	-0.8731	0.192577
42	0.039349	0.3585	0.360446
43	0.049554	0.4515	0.32642
44	0.096174	0.8762	0.191729
45	-0.09194	-0.8376	0.202327
46	-0.04945	-0.4505	0.326758
47	-0.00014	-0.0013	0.499493
48	-0.059097	-0.5384	0.29587
49	0.077206	0.7034	0.241892
50	0.005428	0.0495	0.480338
51	-0.049938	-0.455	0.325164
52	0.063197	0.5758	0.283169
53	-0.069188	-0.6303	0.265105
54	-0.089548	-0.8158	0.20847
55	0.007195	0.0656	0.473946
56	-0.129769	-1.1823	0.12024
57	-0.072648	-0.6619	0.25495
58	-0.0491	-0.4473	0.327903
59	0.016784	0.1529	0.439419
60	-0.012941	-0.1179	0.453218

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228756670197iq8yiasi5n8z/14ho11228756603.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228756670197iq8yiasi5n8z/14ho11228756603.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228756670197iq8yiasi5n8z/2d0ua1228756603.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228756670197iq8yiasi5n8z/2d0ua1228756603.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 = 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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