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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 17:25:46 -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/09/t1228782361hmq9pduq2ujujna.htm/, Retrieved Tue, 09 Dec 2008 00:26:03 +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/09/t1228782361hmq9pduq2ujujna.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 «

92.66 94.2 94.37 94.45 94.62 94.37 93.43 94.79 94.88 94.79 94.62 94.71 93.77 95.73 95.99 95.82 95.47 95.82 94.71 96.33 96.5 96.16 96.33 96.33 95.05 96.84 96.92 97.44 97.78 97.69 96.67 98.29 98.2 98.71 98.54 98.2 96.92 99.06 99.65 99.82 99.99 100.33 99.31 101.1 101.1 100.93 100.85 100.93 99.6 101.88 101.81 102.38 102.74 102.82 101.72 103.47 102.98 102.68 102.9 103.03 101.29

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	-0.378021	-2.9281	0.002407
2	-0.017496	-0.1355	0.446325
3	-0.018433	-0.1428	0.443471
4	-0.004782	-0.037	0.485286
5	-0.43141	-3.3417	0.000719
6	0.817586	6.333	0
7	-0.374715	-2.9025	0.002586
8	-0.018203	-0.141	0.444171
9	-0.050408	-0.3905	0.348789
10	-0.010331	-0.08	0.468242
11	-0.372523	-2.8856	0.002711
12	0.738892	5.7234	0
13	-0.289765	-2.2445	0.01425
14	0.023479	0.1819	0.428149
15	-0.024044	-0.1862	0.42644
16	-0.025389	-0.1967	0.422378
17	-0.351583	-2.7233	0.004225
18	0.622483	4.8217	5e-06
19	-0.27699	-2.1456	0.017982
20	0.001637	0.0127	0.494964
21	-0.021898	-0.1696	0.432939
22	-0.048402	-0.3749	0.35452
23	-0.321389	-2.4895	0.007792
24	0.556909	4.3138	3e-05
25	-0.199968	-1.5489	0.063327
26	0.03943	0.3054	0.380549
27	-0.009885	-0.0766	0.469611
28	-0.042577	-0.3298	0.37135
29	-0.246249	-1.9074	0.030627
30	0.449854	3.4846	0.000464
31	-0.193477	-1.4987	0.069602
32	0.014372	0.1113	0.455865
33	-0.017892	-0.1386	0.445118
34	-0.052432	-0.4061	0.343043
35	-0.216308	-1.6755	0.049519
36	0.373386	2.8922	0.002661
37	-0.131221	-1.0164	0.156752
38	0.032704	0.2533	0.400443
39	0.019389	0.1502	0.44056
40	-0.018417	-0.1427	0.443519
41	-0.159607	-1.2363	0.11058
42	0.268005	2.076	0.021095
43	-0.113684	-0.8806	0.191025
44	0.011556	0.0895	0.464485
45	0.015516	0.1202	0.452367
46	-0.023896	-0.1851	0.426887
47	-0.138129	-1.0699	0.144466
48	0.173577	1.3445	0.09192
49	-0.045518	-0.3526	0.36282
50	0.013929	0.1079	0.45722
51	0.034683	0.2687	0.394559
52	-0.001315	-0.0102	0.495952
53	-0.081699	-0.6328	0.264622
54	0.088521	0.6857	0.247778
55	-0.003288	-0.0255	0.489882
56	-0.013701	-0.1061	0.457917
57	0.004654	0.036	0.485683
58	-0.001411	-0.0109	0.495657
59	-0.054102	-0.4191	0.338331
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.378021	-2.9281	0.002407
2	-0.187138	-1.4496	0.076193
3	-0.117312	-0.9087	0.183573
4	-0.076009	-0.5888	0.279114
5	-0.579381	-4.4879	1.7e-05
6	0.666766	5.1647	1e-06
7	-0.216903	-1.6801	0.049067
8	-0.05375	-0.4163	0.339321
9	-0.218053	-1.689	0.048202
10	-0.209428	-1.6222	0.054999
11	0.111912	0.8669	0.194735
12	0.042264	0.3274	0.372263
13	0.172373	1.3352	0.093429
14	0.011757	0.0911	0.463871
15	0.067762	0.5249	0.300799
16	-0.069294	-0.5368	0.296712
17	-0.056396	-0.4368	0.331898
18	-0.040855	-0.3165	0.376377
19	-0.105803	-0.8195	0.207859
20	-0.049476	-0.3832	0.351449
21	-0.045071	-0.3491	0.364111
22	-0.055721	-0.4316	0.333784
23	-0.056017	-0.4339	0.332956
24	-0.035534	-0.2752	0.392036
25	0.042644	0.3303	0.371154
26	0.043657	0.3382	0.368208
27	-0.09193	-0.7121	0.239586
28	-0.019514	-0.1512	0.440181
29	0.118301	0.9164	0.181574
30	-0.089367	-0.6922	0.245731
31	-0.029092	-0.2253	0.411239
32	-0.170228	-1.3186	0.09616
33	-0.008446	-0.0654	0.474029
34	0.061248	0.4744	0.318459
35	-0.095915	-0.743	0.230205
36	0.010326	0.08	0.468259
37	-0.022493	-0.1742	0.431137
38	0.031725	0.2457	0.403361
39	0.043904	0.3401	0.367494
40	0.037122	0.2875	0.387343
41	0.074263	0.5752	0.283641
42	-0.15943	-1.2349	0.110833
43	-0.013334	-0.1033	0.459041
44	-0.044468	-0.3445	0.365856
45	0.056655	0.4388	0.331174
46	0.08298	0.6428	0.261413
47	-0.074283	-0.5754	0.283588
48	-0.004697	-0.0364	0.48555
49	0.111594	0.8644	0.195405
50	-0.038134	-0.2954	0.384359
51	0.040098	0.3106	0.378591
52	-0.014561	-0.1128	0.455287
53	0.030913	0.2395	0.405786
54	-0.016736	-0.1296	0.448645
55	-0.015543	-0.1204	0.452285
56	0.067718	0.5245	0.300916
57	-0.074477	-0.5769	0.283084
58	0.063827	0.4944	0.311414
59	-0.01588	-0.123	0.451256
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228782361hmq9pduq2ujujna/17m9c1228782344.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228782361hmq9pduq2ujujna/17m9c1228782344.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228782361hmq9pduq2ujujna/2xr931228782344.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/09/t1228782361hmq9pduq2ujujna/2xr931228782344.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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