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loïqueverhasselt

*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 07:48:43 -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/t1229006985k0z5j9qumpigphw.htm/, Retrieved Thu, 11 Dec 2008 14:49:47 +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/t1229006985k0z5j9qumpigphw.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)

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Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Paper , ACF d=1, D=1

Dataseries X:

» Textbox « » Textfile « » CSV «

77.7 78.89 90.2 77.26 80.76 84.93 66.08 71.56 80.78 83.31 85.3 73.94 78.7 81.32 86.8 80.76 84.46 84.21 73.64 70.85 83.78 89.12 78.93 80.54 81.67 82.53 88.2 89.17 83.7 89.79 77.58 70.11 88.07 92.49 83.33 90.05 82.91 88.52 96.42 90.87 86.4 97.47 85.67 79.91 95.73 94.6 91.92 90.38 82.31 87.82 101.29 89.58 87.83 99.95 82.67 84.65 97.83 97.47 97.66 99.14 90.02 100.97 112.48 91.44 108.46 98.41 89.35 92.8 100.43 104.85 108.36 101.54 105.26 101.8 112.36 99.5 104.65 101.13 89.8 87.84 96.41 103.26 100.31 92.33 96.19 96.37 103.06 101.5 101.88 100.85 95.56 87.6 101.18 110.8 101.1 104.42 103.27 100.87 107.8 104.99 100.76 104.46 100.62 87.84 107.31 115.61 103.43 109.93 104.43 106.69 123.1 109.42 101.46 124.48 101.49 100.46 115.51 113.37 115.4 118.2 106.82 110.17 119.91 112.31 110.62 120.37 97.94 103.02 116.36 108.51 122.54 121.32 112.25 109.89 129.58 107.2 118.68 118.25 102.67 104.19 117.74 123.3 122.2 112.71 118.53 115.32 127.36 110.45 122.22 123.39 116.2 109.22 116.98 132.89 125.24 115.68

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	-0.598896	-7.1618	0
2	-0.016107	-0.1926	0.42377
3	0.342003	4.0898	3.6e-05
4	-0.302683	-3.6196	0.000204
5	0.061978	0.7412	0.229908
6	0.22124	2.6456	0.004533
7	-0.363964	-4.3524	1.3e-05
8	0.191635	2.2916	0.011694
9	0.116339	1.3912	0.083162
10	-0.261375	-3.1256	0.001075
11	0.18848	2.2539	0.012862
12	-0.021604	-0.2583	0.398255
13	-0.192649	-2.3038	0.011339
14	0.201411	2.4085	0.008645
15	0.00272	0.0325	0.487048
16	-0.237611	-2.8414	0.002574
17	0.228471	2.7321	0.003543
18	0.034732	0.4153	0.33926
19	-0.219168	-2.6209	0.004859
20	0.170205	2.0354	0.021831
21	0.037252	0.4455	0.328326
22	-0.261213	-3.1237	0.001081
23	0.370399	4.4293	9e-06
24	-0.257925	-3.0843	0.001225
25	-0.071984	-0.8608	0.195393
26	0.318966	3.8143	0.000101
27	-0.251368	-3.0059	0.001564
28	0.001927	0.023	0.490825
29	0.209175	2.5014	0.006749
30	-0.253671	-3.0335	0.001436
31	0.081056	0.9693	0.167018
32	0.179767	2.1497	0.016631
33	-0.277172	-3.3145	0.000582
34	0.082243	0.9835	0.163515
35	0.209298	2.5028	0.006723
36	-0.308518	-3.6893	0.000159
37	0.185978	2.224	0.013859
38	0.051064	0.6106	0.271206
39	-0.211353	-2.5274	0.006289
40	0.154479	1.8473	0.033385
41	0.073559	0.8796	0.190265
42	-0.310217	-3.7097	0.000148
43	0.330503	3.9522	6.1e-05
44	-0.101946	-1.2191	0.112406
45	-0.170012	-2.0331	0.021949
46	0.29234	3.4959	0.000315
47	-0.153976	-1.8413	0.033826
48	-0.151829	-1.8156	0.035762
49	0.375213	4.4869	7e-06
50	-0.363175	-4.3429	1.3e-05
51	0.1236	1.478	0.070798
52	0.146158	1.7478	0.041323
53	-0.241041	-2.8824	0.002278
54	0.159158	1.9033	0.029508
55	0.036242	0.4334	0.332693
56	-0.15847	-1.895	0.030054
57	0.113031	1.3517	0.08931
58	0.010275	0.1229	0.451192
59	-0.135546	-1.6209	0.053622
60	0.16694	1.9963	0.023899

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.598896	-7.1618	0
2	-0.58439	-6.9883	0
3	-0.055099	-0.6589	0.255514
4	-0.024708	-0.2955	0.384035
5	-0.06736	-0.8055	0.210933
6	0.199359	2.384	0.009219
7	-0.078908	-0.9436	0.173483
8	-0.182649	-2.1842	0.01529
9	-0.002447	-0.0293	0.48835
10	0.028577	0.3417	0.366527
11	0.046952	0.5615	0.287681
12	-0.001453	-0.0174	0.493079
13	-0.195755	-2.3409	0.01031
14	-0.28867	-3.452	0.000366
15	-0.031357	-0.375	0.354119
16	-0.080096	-0.9578	0.169888
17	-0.134759	-1.6115	0.054639
18	0.170476	2.0386	0.021666
19	0.128286	1.5341	0.063611
20	-0.14542	-1.739	0.042096
21	0.031737	0.3795	0.352433
22	-0.130571	-1.5614	0.06032
23	0.085497	1.0224	0.154161
24	-0.005152	-0.0616	0.475479
25	-0.203607	-2.4348	0.008066
26	-0.164627	-1.9687	0.025463
27	-0.064502	-0.7713	0.220891
28	-0.009492	-0.1135	0.454892
29	-0.008986	-0.1075	0.45729
30	0.088884	1.0629	0.144809
31	-0.047703	-0.5704	0.284634
32	-0.074161	-0.8868	0.188329
33	0.041068	0.4911	0.312052
34	-0.139193	-1.6645	0.0491
35	0.068554	0.8198	0.206851
36	-0.006228	-0.0745	0.470368
37	-0.113723	-1.3599	0.087995
38	-0.07991	-0.9556	0.170448
39	0.037895	0.4532	0.325562
40	-0.108477	-1.2972	0.098327
41	0.013673	0.1635	0.435175
42	-0.096914	-1.1589	0.124209
43	-0.00755	-0.0903	0.464096
44	-0.048526	-0.5803	0.281319
45	0.014683	0.1756	0.430433
46	0.000124	0.0015	0.499411
47	0.107698	1.2879	0.099933
48	-0.09868	-1.18	0.119971
49	-0.051676	-0.618	0.268792
50	-0.221423	-2.6478	0.004505
51	0.040306	0.482	0.315275
52	0.015024	0.1797	0.428835
53	-0.034516	-0.4127	0.340205
54	0.05472	0.6544	0.256966
55	-0.014008	-0.1675	0.433602
56	0.007712	0.0922	0.463326
57	0.095196	1.1384	0.128433
58	-0.105259	-1.2587	0.105091
59	-0.056702	-0.6781	0.249416
60	0.031141	0.3724	0.355077

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006985k0z5j9qumpigphw/14v791229006922.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006985k0z5j9qumpigphw/14v791229006922.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006985k0z5j9qumpigphw/258gm1229006922.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229006985k0z5j9qumpigphw/258gm1229006922.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; par2 = 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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Error 001_3: History of computation (impact.txt) is not saved due to a technical problem. We are sorry for this inconveniance and will correct it A.S.A.P.