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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: Mon, 08 Dec 2008 11:57:28 -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/08/t1228762713ia140kfdfoy8azh.htm/, Retrieved Mon, 08 Dec 2008 18:58:35 +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/t1228762713ia140kfdfoy8azh.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 «

14897 13063 12604 13630 14421 13978 12928 13430 13470 14786 14292 14309 14013 13241 12153 14290 15669 14170 14570 14469 14265 15321 14434 13692 14194 13519 11858 14616 15643 14077 14888 14160 14643 17193 15386 14287 17527 14497 14398 16630 16671 16615 16869 15664 16360 18448 16889 16505 18321 15052 15700 18135 16769 18883 19021 18102 17776 21490 17065 18690 18953 16399 16896 18553 19270 19422 17579 18637 18077 20439 18075 19563 19899 19228 17790 19221 22059 21231 19504 23913 23166 23574 25002 22604 23409

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.404446	-3.7068	0.000188
2	-0.250422	-2.2952	0.012109
3	0.337023	3.0889	0.001362
4	-0.170477	-1.5624	0.060971
5	-0.114105	-1.0458	0.149329
6	0.314447	2.882	0.002508
7	-0.218417	-2.0018	0.024265
8	-0.043523	-0.3989	0.345492
9	0.233356	2.1387	0.01768
10	-0.273471	-2.5064	0.007062
11	-0.1267	-1.1612	0.124419
12	0.552325	5.0621	1e-06
13	-0.259793	-2.381	0.009763
14	-0.123421	-1.1312	0.130602
15	0.161018	1.4758	0.071874
16	-0.157658	-1.445	0.076095
17	0.049015	0.4492	0.327211
18	0.129987	1.1914	0.118435
19	-0.14953	-1.3705	0.087097
20	0.032481	0.2977	0.383337
21	0.075132	0.6886	0.246488
22	-0.210471	-1.929	0.028554
23	0.068905	0.6315	0.264707
24	0.204385	1.8732	0.032258
25	-0.057962	-0.5312	0.298332
26	-0.058553	-0.5366	0.296466
27	0.010998	0.1008	0.459976
28	-0.067318	-0.617	0.269458
29	0.114318	1.0477	0.148882
30	-0.062035	-0.5686	0.285586
31	-0.019104	-0.1751	0.430715
32	0.043682	0.4004	0.344956
33	-0.014809	-0.1357	0.446181
34	-0.116626	-1.0689	0.14409
35	0.035898	0.329	0.371482
36	0.146453	1.3423	0.091563
37	-0.001575	-0.0144	0.494258
38	-0.082187	-0.7533	0.2267
39	-0.015641	-0.1434	0.443176
40	0.01432	0.1312	0.447946
41	0.04041	0.3704	0.356022
42	-0.056741	-0.52	0.302203
43	0.03581	0.3282	0.371788
44	0.02945	0.2699	0.393943
45	-0.077134	-0.7069	0.240779
46	0.036472	0.3343	0.369504
47	-0.077644	-0.7116	0.239335
48	0.139713	1.2805	0.101949
49	0.046434	0.4256	0.335754
50	-0.123452	-1.1315	0.130541
51	-0.011099	-0.1017	0.459609
52	0.053268	0.4882	0.313336
53	-0.038896	-0.3565	0.361185
54	0.027325	0.2504	0.401432
55	0.000448	0.0041	0.498366
56	-0.035768	-0.3278	0.371932
57	0.015327	0.1405	0.44431
58	-0.018115	-0.166	0.434266
59	-0.051259	-0.4698	0.319859
60	0.108927	0.9983	0.160493

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.404446	-3.7068	0.000188
2	-0.494962	-4.5364	9e-06
3	-0.02308	-0.2115	0.416491
4	-0.157851	-1.4467	0.075847
5	-0.187072	-1.7145	0.045058
6	0.117118	1.0734	0.143081
7	-0.058594	-0.537	0.296337
8	-0.017965	-0.1646	0.434808
9	0.083329	0.7637	0.223587
10	-0.153427	-1.4062	0.081679
11	-0.375956	-3.4457	0.000446
12	0.248681	2.2792	0.012596
13	0.217779	1.996	0.024588
14	0.201602	1.8477	0.034082
15	-0.069038	-0.6327	0.264309
16	-0.135389	-1.2409	0.109055
17	0.004996	0.0458	0.481794
18	-0.085098	-0.7799	0.218811
19	0.010907	0.1	0.460305
20	0.000938	0.0086	0.496582
21	-0.043028	-0.3944	0.347158
22	-0.106908	-0.9798	0.164992
23	0.021784	0.1997	0.421116
24	-0.058969	-0.5405	0.295156
25	0.141034	1.2926	0.099847
26	0.105073	0.963	0.169154
27	0.106526	0.9763	0.165852
28	0.045654	0.4184	0.338351
29	0.052366	0.4799	0.316258
30	-0.11756	-1.0775	0.14218
31	-0.100744	-0.9233	0.179238
32	-0.08177	-0.7494	0.227845
33	0.056765	0.5203	0.302125
34	0.043072	0.3948	0.34701
35	-0.13493	-1.2367	0.10983
36	0.039374	0.3609	0.359552
37	-0.001403	-0.0129	0.494885
38	0.008424	0.0772	0.469322
39	-0.006964	-0.0638	0.47463
40	0.060883	0.558	0.289162
41	0.019552	0.1792	0.429109
42	-0.021167	-0.194	0.423324
43	-0.005208	-0.0477	0.481021
44	0.063119	0.5785	0.282238
45	-0.061034	-0.5594	0.288694
46	0.134016	1.2283	0.111387
47	0.036395	0.3336	0.369769
48	0.049032	0.4494	0.327154
49	-0.010159	-0.0931	0.463021
50	-0.057284	-0.525	0.300478
51	-0.051226	-0.4695	0.319968
52	-0.094151	-0.8629	0.195323
53	-0.027087	-0.2483	0.402272
54	0.049009	0.4492	0.327232
55	0.02131	0.1953	0.422812
56	-0.08293	-0.7601	0.224671
57	0.035709	0.3273	0.372134
58	-0.097673	-0.8952	0.186623
59	0.075223	0.6894	0.246227
60	-0.026226	-0.2404	0.405318

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762713ia140kfdfoy8azh/1bghp1228762646.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762713ia140kfdfoy8azh/1bghp1228762646.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762713ia140kfdfoy8azh/2f6q21228762646.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228762713ia140kfdfoy8azh/2f6q21228762646.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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