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Paper

*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: Thu, 11 Dec 2008 05:18:13 -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/11/t1228997983b7ynw8r7a4b775f.htm/, Retrieved Thu, 11 Dec 2008 12:19:45 +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/11/t1228997983b7ynw8r7a4b775f.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 «

119,5 125 145 105,3 116,9 120,1 88,9 78,4 114,6 113,3 117 99,6 99,4 101,9 115,2 108,5 113,8 121 92,2 90,2 101,5 126,6 93,9 89,8 93,4 101,5 110,4 105,9 108,4 113,9 86,1 69,4 101,2 100,5 98 106,6 90,1 96,9 125,9 112 100 123,9 79,8 83,4 113,6 112,9 104 109,9 99 106,3 128,9 111,1 102,9 130 87 87,5 117,6 103,4 110,8 112,6 102,5 112,4 135,6 105,1 127,7 137 91 90,5 122,4 123,3 124,3 120 118,1 119 142,7 123,6 129,6 151,6 110,4 99,2 130,5 136,2 129,7 128

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	0.307499	2.8183	0.00301
2	0.006861	0.0629	0.475004
3	0.2802	2.5681	0.005998
4	0.098488	0.9027	0.184645
5	0.108549	0.9949	0.161329
6	0.382063	3.5017	0.000372
7	0.122029	1.1184	0.133289
8	0.102261	0.9372	0.175661
9	0.213625	1.9579	0.02678
10	-0.107216	-0.9826	0.164301
11	0.15495	1.4201	0.079634
12	0.588381	5.3926	0
13	0.139631	1.2797	0.10208
14	-0.113298	-1.0384	0.151034
15	0.115025	1.0542	0.147401
16	-0.042901	-0.3932	0.347586
17	0.004135	0.0379	0.48493
18	0.183968	1.6861	0.047744
19	0.014117	0.1294	0.448681
20	-0.023868	-0.2188	0.413686
21	0.040173	0.3682	0.356828
22	-0.229708	-2.1053	0.019125
23	0.011305	0.1036	0.458864
24	0.375633	3.4427	0.00045
25	0.006857	0.0628	0.475019
26	-0.146614	-1.3437	0.091326
27	0.000901	0.0083	0.496716
28	-0.171194	-1.569	0.060202
29	-0.113519	-1.0404	0.150566
30	0.052906	0.4849	0.314507
31	-0.117268	-1.0748	0.142776
32	-0.107422	-0.9845	0.16384
33	-0.049503	-0.4537	0.325606
34	-0.250542	-2.2963	0.012076
35	-0.06548	-0.6001	0.275015
36	0.216614	1.9853	0.025187

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.307499	2.8183	0.00301
2	-0.096852	-0.8877	0.188628
3	0.343015	3.1438	0.001153
4	-0.138164	-1.2663	0.104454
5	0.225368	2.0655	0.020978
6	0.234038	2.145	0.017421
7	-0.089886	-0.8238	0.206187
8	0.185653	1.7015	0.046271
9	-0.073733	-0.6758	0.250519
10	-0.202921	-1.8598	0.033207
11	0.345718	3.1686	0.001069
12	0.335518	3.0751	0.00142
13	-0.136307	-1.2493	0.107517
14	-0.242581	-2.2233	0.01444
15	-0.052457	-0.4808	0.315962
16	-0.026498	-0.2429	0.404353
17	0.01589	0.1456	0.442279
18	-0.120446	-1.1039	0.136394
19	0.013352	0.1224	0.451448
20	-0.098864	-0.9061	0.183737
21	0.003431	0.0314	0.487494
22	-0.068017	-0.6234	0.26736
23	0.085905	0.7873	0.216651
24	0.093679	0.8586	0.196507
25	-0.075498	-0.692	0.245438
26	0.048617	0.4456	0.328524
27	-0.069267	-0.6348	0.263629
28	-0.096574	-0.8851	0.189311
29	-0.017448	-0.1599	0.436667
30	-0.08305	-0.7612	0.224345
31	-0.035407	-0.3245	0.373178
32	-0.0805	-0.7378	0.231349
33	0.058335	0.5346	0.297154
34	0.074052	0.6787	0.249598
35	-0.039993	-0.3665	0.357442
36	0.007715	0.0707	0.4719

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228997983b7ynw8r7a4b775f/1jyn51228997892.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228997983b7ynw8r7a4b775f/1jyn51228997892.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228997983b7ynw8r7a4b775f/25vz41228997892.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1228997983b7ynw8r7a4b775f/25vz41228997892.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 0 ; 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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