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autocorrelation D=1

*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 10:31:41 -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/t1229016768df6rbsp72vxs7at.htm/, Retrieved Thu, 11 Dec 2008 17:32:49 +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/t1229016768df6rbsp72vxs7at.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

99.5 93.5 104.6 95.3 102.8 103.3 100.2 107.9 107.5 119.8 112 102.1 105.3 101.3 108.4 107.4 109.1 109.5 111.4 110.1 117 129.6 113.5 113.3 110.1 107.4 110.1 112.5 106 117.6 117.8 113.5 121.2 130.4 115.2 117.9 110.7 107.6 124.3 115.1 112.5 127.9 117.4 119.3 130.4 126 125.4 130.5 115.9 108.7 124 119.4 118.6 131.3 111.1 124.8 132.3 126.7 131.7 130.9 122.1 113.2 133.6 119.2 129.4 131.4 117.1 130.5 132.3 140.8 137.5 128.6 126.7 120.8 139.3 128.6 131.3 136.3 128.8 133.2 136.3 151.1 145 134.4

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	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.213071	-1.808	0.037394
2	-0.04078	-0.346	0.365166
3	0.279979	2.3757	0.01009
4	-0.130476	-1.1071	0.135963
5	0.131334	1.1144	0.134405
6	0.185116	1.5708	0.060312
7	-0.259592	-2.2027	0.015408
8	0.085717	0.7273	0.23469
9	0.307517	2.6094	0.005513
10	-0.403401	-3.423	0.000513
11	0.070625	0.5993	0.275437
12	0.009965	0.0846	0.466424
13	-0.258495	-2.1934	0.015754
14	0.168787	1.4322	0.078206
15	-0.065578	-0.5564	0.289815
16	-0.239899	-2.0356	0.022735
17	0.257255	2.1829	0.016153
18	0.035584	0.3019	0.381783
19	-0.267428	-2.2692	0.013127
20	0.14237	1.2081	0.11549
21	-0.047022	-0.399	0.345539
22	-0.010596	-0.0899	0.464304
23	0.314339	2.6673	0.00472
24	-0.235848	-2.0012	0.024568
25	-0.117411	-0.9963	0.161229
26	0.329115	2.7926	0.003346
27	-0.224356	-1.9037	0.030471
28	0.037667	0.3196	0.375093
29	0.085155	0.7226	0.236145
30	-0.185219	-1.5716	0.06021
31	0.14075	1.1943	0.118139
32	0.017389	0.1476	0.441554
33	-0.231554	-1.9648	0.026648
34	0.032786	0.2782	0.390827
35	0.113494	0.963	0.169377
36	-0.266766	-2.2636	0.013307

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.213071	-1.808	0.037394
2	-0.090277	-0.766	0.223082
3	0.265383	2.2518	0.013691
4	-0.019048	-0.1616	0.436026
5	0.135913	1.1533	0.126309
6	0.18301	1.5529	0.062417
7	-0.168366	-1.4286	0.078717
8	-0.067358	-0.5716	0.284703
9	0.283221	2.4032	0.009415
10	-0.272912	-2.3157	0.011712
11	-0.139903	-1.1871	0.119542
12	-0.085122	-0.7223	0.236229
13	-0.122579	-1.0401	0.150884
14	-0.036291	-0.3079	0.379509
15	0.03023	0.2565	0.399143
16	-0.017892	-0.1518	0.439877
17	0.130589	1.1081	0.135757
18	0.176756	1.4998	0.069016
19	-0.039049	-0.3313	0.370676
20	-0.121901	-1.0344	0.152213
21	0.025452	0.216	0.414812
22	0.061873	0.525	0.300594
23	0.144613	1.2271	0.111895
24	-0.09374	-0.7954	0.214495
25	-0.214336	-1.8187	0.036558
26	0.028314	0.2403	0.405408
27	-0.10713	-0.909	0.183184
28	0.095234	0.8081	0.210851
29	-0.000821	-0.007	0.497229
30	-0.004678	-0.0397	0.484223
31	0.017801	0.151	0.44018
32	-0.104983	-0.8908	0.188
33	0.051483	0.4368	0.331766
34	-0.087331	-0.741	0.230543
35	0.013703	0.1163	0.453878
36	-0.058166	-0.4936	0.311562

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016768df6rbsp72vxs7at/1h1uc1229016699.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016768df6rbsp72vxs7at/1h1uc1229016699.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016768df6rbsp72vxs7at/273wq1229016699.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/11/t1229016768df6rbsp72vxs7at/273wq1229016699.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 36 ; 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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