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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 12:44:59 -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/t1228765518j8rwthlq784cvco.htm/, Retrieved Mon, 08 Dec 2008 19:45:20 +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/t1228765518j8rwthlq784cvco.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 «

22780 17351 21382 24561 17409 11514 31514 27071 29462 26105 22397 23843 21705 18089 20764 25316 17704 15548 28029 29383 36438 32034 22679 24319 18004 17537 20366 22782 19169 13807 29743 25591 29096 26482 22405 27044 17970 18730 19684 19785 18479 10698 31956 29506 34506 27165 26736 23691 18157 17328 18205 20995 17382 9367 31124 26551 30651 25859 25100 25778 20418 18688 20424 24776 19814 12738 31566 30111 30019 31934 25826 26835

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	0.278046	2.3593	0.010512
2	0.057493	0.4878	0.31357
3	-0.048273	-0.4096	0.341655
4	-0.151204	-1.283	0.101802
5	-0.234595	-1.9906	0.025161
6	-0.4355	-3.6953	0.000213
7	-0.234993	-1.994	0.024971
8	-0.145526	-1.2348	0.110455
9	-0.072724	-0.6171	0.269562
10	0.017451	0.1481	0.441347
11	0.207111	1.7574	0.041551
12	0.758964	6.44	0
13	0.228556	1.9394	0.028188
14	0.050743	0.4306	0.334034
15	-0.052394	-0.4446	0.328979
16	-0.159681	-1.3549	0.089837
17	-0.204458	-1.7349	0.043521
18	-0.400433	-3.3978	0.000555
19	-0.214402	-1.8193	0.036515
20	-0.168097	-1.4264	0.079044
21	-0.098265	-0.8338	0.203574
22	0.014909	0.1265	0.449843
23	0.179355	1.5219	0.06621
24	0.59416	5.0416	2e-06
25	0.199484	1.6927	0.04742
26	0.042047	0.3568	0.36115
27	-0.004601	-0.039	0.484484
28	-0.072698	-0.6169	0.269637
29	-0.147041	-1.2477	0.108095
30	-0.302952	-2.5706	0.006109
31	-0.139106	-1.1804	0.120873
32	-0.145574	-1.2352	0.110379
33	-0.097232	-0.825	0.206038
34	0.005979	0.0507	0.479838
35	0.107378	0.9111	0.182632
36	0.431431	3.6608	0.000238
37	0.148074	1.2564	0.106508
38	0.001321	0.0112	0.495544
39	-0.002421	-0.0205	0.491835
40	-0.028772	-0.2441	0.403909
41	-0.131283	-1.114	0.134498
42	-0.182209	-1.5461	0.063233
43	-0.095496	-0.8103	0.210217
44	-0.09188	-0.7796	0.219083
45	-0.064512	-0.5474	0.292898
46	-0.000109	-9e-04	0.499631
47	0.074913	0.6357	0.263507
48	0.310128	2.6315	0.005196
49	0.113061	0.9594	0.170295
50	0.002309	0.0196	0.49221
51	0.024812	0.2105	0.416921
52	0.00567	0.0481	0.480879
53	-0.07062	-0.5992	0.27545
54	-0.083718	-0.7104	0.239885
55	-0.048719	-0.4134	0.340272
56	-0.020098	-0.1705	0.432532
57	-0.013718	-0.1164	0.45383
58	-0.019983	-0.1696	0.432915
59	0.016719	0.1419	0.44379
60	0.14143	1.2001	0.117023

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.278046	2.3593	0.010512
2	-0.021477	-0.1822	0.427955
3	-0.063572	-0.5394	0.295629
4	-0.130301	-1.1056	0.136281
5	-0.172246	-1.4616	0.074106
6	-0.372466	-3.1605	0.001152
7	-0.085132	-0.7224	0.236202
8	-0.150528	-1.2773	0.102805
9	-0.150127	-1.2739	0.103404
10	-0.142075	-1.2055	0.11597
11	0.031195	0.2647	0.395999
12	0.665101	5.6436	0
13	-0.201234	-1.7075	0.046017
14	-0.063297	-0.5371	0.296428
15	-0.081105	-0.6882	0.246768
16	-0.065614	-0.5568	0.28971
17	0.018223	0.1546	0.438776
18	-0.039099	-0.3318	0.370516
19	-0.031973	-0.2713	0.393467
20	-0.152305	-1.2924	0.100184
21	-0.065372	-0.5547	0.29041
22	0.006345	0.0538	0.478608
23	-0.004883	-0.0414	0.483534
24	-0.050688	-0.4301	0.334202
25	-0.066767	-0.5665	0.286394
26	-0.109903	-0.9326	0.177082
27	0.060616	0.5143	0.304293
28	0.136261	1.1562	0.125708
29	-0.045748	-0.3882	0.349513
30	0.048695	0.4132	0.340347
31	0.024611	0.2088	0.417583
32	-0.007434	-0.0631	0.47494
33	0.024869	0.211	0.416733
34	-0.002434	-0.0207	0.49179
35	-0.135667	-1.1512	0.126735
36	-0.092566	-0.7854	0.217384
37	-0.018565	-0.1575	0.437635
38	-0.07694	-0.6529	0.257964
39	-0.061124	-0.5187	0.302796
40	-0.044295	-0.3759	0.354065
41	-0.147086	-1.2481	0.108026
42	0.105886	0.8985	0.185964
43	-0.055568	-0.4715	0.31935
44	0.082237	0.6978	0.243775
45	-0.009103	-0.0772	0.469324
46	-0.027797	-0.2359	0.407102
47	0.043856	0.3721	0.355445
48	0.017012	0.1444	0.442812
49	0.063445	0.5383	0.295999
50	0.033777	0.2866	0.387617
51	0.007287	0.0618	0.475433
52	-0.028352	-0.2406	0.405284
53	0.093634	0.7945	0.214755
54	-0.009114	-0.0773	0.469286
55	0.008686	0.0737	0.470724
56	0.051702	0.4387	0.331094
57	0.040519	0.3438	0.365994
58	-0.019743	-0.1675	0.433714
59	-0.072062	-0.6115	0.271408
60	-0.091874	-0.7796	0.219097

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765518j8rwthlq784cvco/1zavb1228765497.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765518j8rwthlq784cvco/1zavb1228765497.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765518j8rwthlq784cvco/20olf1228765497.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765518j8rwthlq784cvco/20olf1228765497.ps (open in new window)

Parameters (Session):

par1 = FALSE ; par2 = 1 ; par3 = 0 ; par4 = 1 ; par5 = 12 ; par6 = 3 ; par7 = 0 ; par8 = 2 ; par9 = 1 ;

Parameters (R input):

par1 = 60 ; par2 = 0.4 ; par3 = 0 ; par4 = 0 ; par5 = 12 ; par6 = 3 ; par7 = 0 ; par8 = 2 ; par9 = 1 ;

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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