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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 05:55:22 -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/t1229000253ycj7dvteq0o89my.htm/, Retrieved Thu, 11 Dec 2008 12:57:33 +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/t1229000253ycj7dvteq0o89my.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] 
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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

98,6 98 106,8 96,6 100,1 107,7 91,5 97,8 107,4 117,5 105,6 97,4 99,5 98 104,3 100,6 101,1 103,9 96,9 95,5 108,4 117 103,8 100,8 110,6 104 112,6 107,3 98,9 109,8 104,9 102,2 123,9 124,9 112,7 121,9 100,6 104,3 120,4 107,5 102,9 125,6 107,5 108,8 128,4 121,1 119,5 128,7 108,7 105,5 119,8 111,3 110,6 120,1 97,5 107,7 127,3 117,2 119,8 116,2 111 112,4 130,6 109,1 118,8 123,9 101,6 112,8 128 129,6 125,8 119,5 115,7 113,6 129,7 112 116,8 127 112,1 114,2 121,1 131,6 125 120,4

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	2 seconds
R Server	'Sir Ronald Aylmer Fisher' @ 193.190.124.24

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.145047	1.2308	0.111208
2	0.058712	0.4982	0.309934
3	0.258792	2.1959	0.01566
4	-0.037472	-0.318	0.375716
5	0.062081	0.5268	0.299983
6	0.203018	1.7227	0.044621
7	-0.129215	-1.0964	0.138273
8	0.12284	1.0423	0.150373
9	0.205255	1.7416	0.042921
10	-0.212205	-1.8006	0.037976
11	-0.078275	-0.6642	0.254347
12	-0.205541	-1.7441	0.042707
13	-0.253606	-2.1519	0.017379
14	0.088509	0.751	0.227542
15	-0.128006	-1.0862	0.140514
16	-0.151608	-1.2864	0.101206
17	0.211295	1.7929	0.038595
18	-0.163351	-1.3861	0.085001
19	-0.193644	-1.6431	0.052359
20	0.00225	0.0191	0.492411
21	-0.06786	-0.5758	0.283269
22	-0.098199	-0.8332	0.203731
23	0.136264	1.1562	0.125703
24	-0.232277	-1.9709	0.026288
25	-0.139454	-1.1833	0.12029
26	0.048191	0.4089	0.341908
27	-0.061616	-0.5228	0.301348
28	-0.062749	-0.5324	0.298029
29	-0.002071	-0.0176	0.493013
30	-0.053356	-0.4527	0.326049
31	0.051533	0.4373	0.33161
32	0.027837	0.2362	0.406972
33	-0.155536	-1.3198	0.095547
34	0.039952	0.339	0.367796
35	0.057762	0.4901	0.312766
36	0.029168	0.2475	0.402612
37	0.230201	1.9533	0.027334
38	0.104211	0.8843	0.189749
39	-0.051874	-0.4402	0.330568
40	0.137919	1.1703	0.122873
41	-0.055817	-0.4736	0.3186
42	-0.040228	-0.3413	0.366917
43	0.106234	0.9014	0.185183
44	0.039468	0.3349	0.369338
45	-0.030631	-0.2599	0.397836
46	0.073441	0.6232	0.267571
47	-0.067294	-0.571	0.284887
48	-0.108898	-0.924	0.179278
49	-0.053336	-0.4526	0.326109
50	-0.133494	-1.1327	0.130543
51	-0.01727	-0.1465	0.441952
52	-0.013842	-0.1175	0.453413
53	-0.036176	-0.307	0.379879
54	0.026073	0.2212	0.412766
55	-0.029853	-0.2533	0.400376
56	-0.072377	-0.6141	0.270529
57	-0.010648	-0.0904	0.464128
58	-0.009209	-0.0781	0.468965
59	0.007321	0.0621	0.475319
60	0.03998	0.3392	0.367707

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.145047	1.2308	0.111208
2	0.038483	0.3265	0.372481
3	0.250659	2.1269	0.018427
4	-0.117491	-0.9969	0.161065
5	0.075776	0.643	0.26114
6	0.133421	1.1321	0.13067
7	-0.161244	-1.3682	0.087752
8	0.148827	1.2628	0.105361
9	0.109252	0.927	0.178503
10	-0.220876	-1.8742	0.032481
11	-0.120042	-1.0186	0.155905
12	-0.281023	-2.3846	0.009868
13	-0.050681	-0.43	0.334223
14	0.128808	1.093	0.139024
15	-0.099645	-0.8455	0.200313
16	0.043296	0.3674	0.357206
17	0.194334	1.649	0.051754
18	-0.15436	-1.3098	0.097216
19	-0.084518	-0.7172	0.237799
20	-0.046185	-0.3919	0.348148
21	0.211597	1.7955	0.038388
22	-0.200595	-1.7021	0.046525
23	-0.023763	-0.2016	0.420385
24	-0.241926	-2.0528	0.021863
25	-0.203644	-1.728	0.04414
26	-0.011245	-0.0954	0.462125
27	0.210988	1.7903	0.038805
28	0.018057	0.1532	0.439328
29	0.049636	0.4212	0.33744
30	-0.080802	-0.6856	0.247576
31	-0.060996	-0.5176	0.303172
32	-0.011847	-0.1005	0.460104
33	0.001846	0.0157	0.493774
34	0.025682	0.2179	0.414056
35	-0.002289	-0.0194	0.49228
36	-0.058917	-0.4999	0.309324
37	0.070807	0.6008	0.274923
38	-0.013927	-0.1182	0.45313
39	0.048775	0.4139	0.3401
40	-0.022486	-0.1908	0.424609
41	-0.028738	-0.2439	0.404019
42	0.034786	0.2952	0.384358
43	-0.106413	-0.9029	0.184784
44	-0.097562	-0.8278	0.205247
45	-0.007309	-0.062	0.475359
46	-0.07799	-0.6618	0.255117
47	0.068484	0.5811	0.281491
48	-0.146557	-1.2436	0.108844
49	-0.001578	-0.0134	0.494676
50	5.3e-05	5e-04	0.49982
51	0.039523	0.3354	0.369162
52	-0.015011	-0.1274	0.449501
53	0.005141	0.0436	0.482664
54	-0.041681	-0.3537	0.362307
55	0.002559	0.0217	0.491368
56	-0.011591	-0.0984	0.460963
57	-0.043568	-0.3697	0.356351
58	-0.051363	-0.4358	0.332134
59	0.003528	0.0299	0.488101
60	-0.053091	-0.4505	0.326854

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229000253ycj7dvteq0o89my/1uqkz1229000117.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229000253ycj7dvteq0o89my/1uqkz1229000117.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229000253ycj7dvteq0o89my/2tgbi1229000117.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229000253ycj7dvteq0o89my/2tgbi1229000117.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 1 ; 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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