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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 12:23:15 -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/t12287642295iomo7ot17r1qb6.htm/, Retrieved Mon, 08 Dec 2008 19:23:51 +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/t12287642295iomo7ot17r1qb6.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 «

9097,4 12639,8 13040,1 11687,3 11191,7 11391,9 11793,1 13933,2 12778,1 11810,3 13698,4 11956,6 10723,8 13938,9 13979,8 13807,4 12973,9 12509,8 12934,1 14908,3 13772,1 13012,6 14049,9 11816,5 11593,2 14466,2 13615,9 14733,9 13880,7 13527,5 13584 16170,2 13260,6 14741,9 15486,5 13154,5 12621,2 15031,6 15452,4 15428 13105,9 14716,8 14180 16202,2 14392,4 15140,6 15960,1 14351,3 13230,2 15202,1 17157,3 16159,1 13405,7 17224,7 17338,4 17370,6 18817,8 16593,2 17979,5 17015,2

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	0.161874	1.1215	0.133828
2	0.202186	1.4008	0.083855
3	0.478557	3.3155	0.000874
4	0.050042	0.3467	0.365166
5	0.03695	0.256	0.399523
6	0.160543	1.1123	0.135779
7	-0.188891	-1.3087	0.098438
8	-0.087974	-0.6095	0.272532
9	0.063594	0.4406	0.330744
10	-0.211673	-1.4665	0.074515
11	-0.212523	-1.4724	0.07372
12	-0.011238	-0.0779	0.469132
13	-0.17925	-1.2419	0.110158
14	-0.134289	-0.9304	0.178415
15	-0.011499	-0.0797	0.468417
16	-0.188865	-1.3085	0.098468
17	0.042459	0.2942	0.38495
18	0.089653	0.6211	0.268725
19	-0.035464	-0.2457	0.403479
20	0.126742	0.8781	0.192134
21	0.076037	0.5268	0.300381
22	-0.029962	-0.2076	0.418217
23	0.161016	1.1156	0.135084
24	-0.18385	-1.2737	0.104443
25	-0.040354	-0.2796	0.390501
26	0.044369	0.3074	0.379936
27	-0.179721	-1.2451	0.109562
28	-0.204122	-1.4142	0.081879
29	-0.032027	-0.2219	0.412672
30	-0.211427	-1.4648	0.074746
31	-0.2119	-1.4681	0.074301
32	-0.075316	-0.5218	0.302103
33	-0.215673	-1.4942	0.070831
34	-0.139286	-0.965	0.169691
35	-0.007398	-0.0513	0.479667
36	-0.103842	-0.7194	0.237679
37	-0.043623	-0.3022	0.381891
38	0.121302	0.8404	0.202424
39	0.049154	0.3405	0.367466
40	0.050506	0.3499	0.363966
41	0.162082	1.1229	0.133525
42	0.076956	0.5332	0.298189
43	0.076633	0.5309	0.298957
44	0.130704	0.9055	0.184851
45	0.007634	0.0529	0.47902
46	0.03018	0.2091	0.417629
47	0.040995	0.284	0.388807
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	0.161874	1.1215	0.133828
2	0.180718	1.2521	0.108309
3	0.448505	3.1073	0.001584
4	-0.095348	-0.6606	0.256016
5	-0.14425	-0.9994	0.161307
6	-0.052908	-0.3666	0.35778
7	-0.222081	-1.5386	0.065232
8	-0.047035	-0.3259	0.372971
9	0.130172	0.9019	0.185817
10	-0.005442	-0.0377	0.485041
11	-0.195754	-1.3562	0.090687
12	-0.042826	-0.2967	0.383985
13	0.003384	0.0234	0.490695
14	0.029461	0.2041	0.419564
15	0.015131	0.1048	0.458473
16	-0.100482	-0.6962	0.244842
17	0.132772	0.9199	0.18112
18	0.0556	0.3852	0.350892
19	0.055281	0.383	0.351706
20	0.0533	0.3693	0.356774
21	-0.115953	-0.8033	0.212867
22	-0.152755	-1.0583	0.147604
23	0.070958	0.4916	0.312618
24	-0.280149	-1.9409	0.029076
25	0.07894	0.5469	0.293487
26	0.024714	0.1712	0.432385
27	-0.023052	-0.1597	0.436889
28	-0.213834	-1.4815	0.072506
29	-0.035723	-0.2475	0.40279
30	-0.012877	-0.0892	0.46464
31	-0.088194	-0.611	0.272033
32	-0.063967	-0.4432	0.329814
33	0.017664	0.1224	0.451554
34	0.029251	0.2027	0.420129
35	-0.126926	-0.8794	0.191792
36	0.060277	0.4176	0.339048
37	0.009793	0.0678	0.473095
38	-0.029643	-0.2054	0.419076
39	0.042843	0.2968	0.383939
40	-0.100161	-0.6939	0.245533
41	0.042662	0.2956	0.384417
42	-0.012542	-0.0869	0.465558
43	-0.006088	-0.0422	0.483264
44	-0.036236	-0.251	0.401424
45	-0.061105	-0.4233	0.336966
46	-0.071331	-0.4942	0.311711
47	0.049421	0.3424	0.366774
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/08/t12287642295iomo7ot17r1qb6/10c7l1228764193.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287642295iomo7ot17r1qb6/10c7l1228764193.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287642295iomo7ot17r1qb6/24f881228764193.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t12287642295iomo7ot17r1qb6/24f881228764193.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.2 ; par3 = 0 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.2 ; par3 = 0 ; 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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