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step3

*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 12:51:58 -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/t1228765953pn84u7q1wnrcm99.htm/, Retrieved Mon, 08 Dec 2008 19:52:35 +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/t1228765953pn84u7q1wnrcm99.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 «

83.1 89.6 105.7 110.7 110.4 109 106 100.9 114.3 101.2 109.2 111.6 91.7 93.7 105.7 109.5 105.3 102.8 100.6 97.6 110.3 107.2 107.2 108.1 97.1 92.2 112.2 111.6 115.7 111.3 104.2 103.2 112.7 106.4 102.6 110.6 95.2 89 112.5 116.8 107.2 113.6 101.8 102.6 122.7 110.3 110.5 121.6 100.3 100.7 123.4 127.1 124.1 131.2 111.6 114.2 130.1 125.9 119 133.8 107.5 113.5 134.4 126.8 135.6 139.9 129.8 131 153.1 134.1 144.1 155.9 123.3 128.1 144.3 153 149.9 150.9 141 138.9 157.4 142.9 151.7 161 138.5 135.9 151.5 164 159.1 157 142.1 144.8 152.1 154.6 148.7 157.7 146.7

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	-0.555815	-5.0941	1e-06
2	0.127996	1.1731	0.122035
3	0.091729	0.8407	0.20145
4	-0.114054	-1.0453	0.149437
5	0.085758	0.786	0.217045
6	-0.05221	-0.4785	0.316765
7	0.000555	0.0051	0.497978
8	-0.11644	-1.0672	0.144472
9	0.23826	2.1837	0.015887
10	-0.238699	-2.1877	0.015734
11	0.136861	1.2544	0.106596
12	-0.162543	-1.4897	0.07002
13	0.020775	0.1904	0.424723
14	0.04347	0.3984	0.345668
15	0.003861	0.0354	0.485926
16	-0.028757	-0.2636	0.396381
17	-0.0845	-0.7745	0.220417
18	0.332378	3.0463	0.001548
19	-0.336454	-3.0836	0.001383
20	0.18311	1.6782	0.04851
21	-0.016605	-0.1522	0.4397
22	-0.125514	-1.1504	0.126632
23	0.290173	2.6595	0.004685
24	-0.216763	-1.9867	0.02511
25	0.010181	0.0933	0.462938
26	0.096955	0.8886	0.188376
27	0.006308	0.0578	0.477018
28	-0.185297	-1.6983	0.046578
29	0.275123	2.5215	0.006786
30	-0.29764	-2.7279	0.00388
31	0.141372	1.2957	0.099315
32	0.048051	0.4404	0.330391
33	-0.099884	-0.9155	0.181288
34	0.011651	0.1068	0.457607
35	-0.073553	-0.6741	0.251043
36	0.060739	0.5567	0.289614
37	-0.055474	-0.5084	0.306242
38	0.069046	0.6328	0.264285
39	-0.147179	-1.3489	0.090495
40	0.203975	1.8695	0.032522
41	-0.1	-0.9165	0.18101
42	0.003833	0.0351	0.486028
43	-0.014892	-0.1365	0.445881
44	0.067355	0.6173	0.269347
45	-0.092059	-0.8437	0.200606
46	0.062515	0.573	0.284102
47	0.114773	1.0519	0.147928
48	-0.225949	-2.0709	0.020721
49	0.209923	1.924	0.028872
50	-0.083611	-0.7663	0.22282
51	-0.063625	-0.5831	0.280682
52	0.09549	0.8752	0.191987
53	-0.132359	-1.2131	0.114247
54	0.065909	0.6041	0.273713
55	0.014574	0.1336	0.447031
56	-0.016855	-0.1545	0.438802
57	-0.047975	-0.4397	0.330644
58	0.104486	0.9576	0.170498
59	-0.102902	-0.9431	0.174163
60	0.076846	0.7043	0.241596

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.555815	-5.0941	1e-06
2	-0.261818	-2.3996	0.009312
3	0.055887	0.5122	0.304922
4	0.013238	0.1213	0.45186
5	0.041373	0.3792	0.352754
6	-0.012028	-0.1102	0.456242
7	-0.034766	-0.3186	0.375398
8	-0.228941	-2.0983	0.019442
9	0.111271	1.0198	0.155371
10	-0.030605	-0.2805	0.389893
11	0.025914	0.2375	0.40642
12	-0.235023	-2.154	0.017052
13	-0.215688	-1.9768	0.025672
14	-0.139298	-1.2767	0.102616
15	0.1043	0.9559	0.170925
16	0.062272	0.5707	0.284852
17	-0.134522	-1.2329	0.110523
18	0.218879	2.0061	0.024034
19	-0.006837	-0.0627	0.475093
20	-0.082315	-0.7544	0.22635
21	0.024744	0.2268	0.410572
22	-0.088427	-0.8104	0.209987
23	0.226423	2.0752	0.020514
24	0.030417	0.2788	0.390552
25	-0.148824	-1.364	0.088107
26	0.004459	0.0409	0.483749
27	0.109498	1.0036	0.159236
28	-0.104887	-0.9613	0.169578
29	0.146981	1.3471	0.090786
30	-0.02114	-0.1937	0.42342
31	0.006665	0.0611	0.475717
32	-0.084905	-0.7782	0.21933
33	0.048186	0.4416	0.329945
34	-0.036569	-0.3352	0.369169
35	-0.098914	-0.9066	0.183616
36	-0.266835	-2.4456	0.008275
37	-0.0128	-0.1173	0.453447
38	0.001713	0.0157	0.493756
39	-0.06138	-0.5626	0.287616
40	0.118241	1.0837	0.140801
41	-0.113803	-1.043	0.149966
42	-0.032245	-0.2955	0.384158
43	-0.112798	-1.0338	0.152096
44	-0.04245	-0.3891	0.349109
45	-0.016168	-0.1482	0.441278
46	-0.020774	-0.1904	0.42473
47	0.008258	0.0757	0.469923
48	-0.008955	-0.0821	0.467391
49	-0.122816	-1.1256	0.131764
50	-0.030044	-0.2754	0.391859
51	-0.016982	-0.1556	0.438345
52	0.033914	0.3108	0.37835
53	-0.000598	-0.0055	0.497821
54	-0.05231	-0.4794	0.316441
55	-0.150732	-1.3815	0.085397
56	0.00694	0.0636	0.474718
57	0.114308	1.0476	0.148903
58	-0.005085	-0.0466	0.48147
59	0.094139	0.8628	0.195354
60	-0.025335	-0.2322	0.408475

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765953pn84u7q1wnrcm99/143wl1228765916.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765953pn84u7q1wnrcm99/143wl1228765916.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765953pn84u7q1wnrcm99/2ghck1228765916.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/08/t1228765953pn84u7q1wnrcm99/2ghck1228765916.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 0.1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 0.1 ; 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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