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autocorrelation matrix d=2

*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: Fri, 12 Dec 2008 03:54:30 -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/12/t1229079473q8t7rv6prykaptk.htm/, Retrieved Fri, 12 Dec 2008 11:57:56 +0100

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/12/t1229079473q8t7rv6prykaptk.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},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

k_vanderheggen

Dataseries X:

» Textbox « » Textfile « » CSV «

5.5 5.3 5.2 5.3 5.3 5 4.8 4.9 5.3 6 6.2 6.4 6.4 6.4 6.2 6.1 6 5.9 6.2 6.2 6.4 6.8 6.9 7 7 6.9 6.7 6.6 6.5 6.4 6.5 6.5 6.6 6.7 6.8 7.2 7.6 7.6 7.3 6.4 6.1 6.3 7.1 7.5 7.4 7.1 6.8 6.9 7.2 7.4 7.3 6.9 6.9 6.8 7.1 7.2 7.1 7 6.9 7 7.4 7.5 7.5 7.4 7.3 7 6.7 6.5 6.5 6.5 6.6 6.8 6.9 6.9 6.8 6.8 6.5 6.1 6 5.9 5.8 5.9 5.9 6.2 6.3 6.2 6 5.8 5.5 5.5 5.7 5.8

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	0.063647	0.6038	0.273746
2	-0.143101	-1.3576	0.088996
3	-0.417689	-3.9625	7.4e-05
4	-0.328957	-3.1208	0.001212
5	0.12187	1.1562	0.125338
6	0.241942	2.2953	0.012021
7	0.145274	1.3782	0.08578
8	-0.11777	-1.1173	0.133427
9	-0.206894	-1.9628	0.026381
10	-0.075407	-0.7154	0.238116
11	0.044537	0.4225	0.336829
12	0.371484	3.5242	0.000335
13	-0.021373	-0.2028	0.419889
14	0.023379	0.2218	0.41249
15	-0.104372	-0.9902	0.162375
16	-0.183887	-1.7445	0.042243
17	0.00796	0.0755	0.469987
18	0.038654	0.3667	0.357352
19	0.071604	0.6793	0.249346
20	-0.005718	-0.0542	0.47843
21	-0.058083	-0.551	0.29149
22	0.015494	0.147	0.441734
23	-0.040676	-0.3859	0.350245
24	0.075463	0.7159	0.237953
25	-0.038681	-0.367	0.357253
26	0.038765	0.3678	0.356958
27	0.114084	1.0823	0.141006
28	-0.071641	-0.6796	0.249237
29	0.063844	0.6057	0.273126
30	-0.170375	-1.6163	0.054763
31	-0.033148	-0.3145	0.376944
32	-0.038761	-0.3677	0.356973
33	0.127742	1.2119	0.114367
34	0.106653	1.0118	0.157173
35	-0.081006	-0.7685	0.222103
36	-0.065919	-0.6254	0.266659
37	-0.073982	-0.7019	0.242291
38	0.022618	0.2146	0.415294
39	0.131276	1.2454	0.10811
40	0.033189	0.3149	0.376798
41	0.060465	0.5736	0.283827
42	-0.077346	-0.7338	0.232499
43	-0.00035	-0.0033	0.498678
44	-0.149318	-1.4166	0.080033
45	0.019249	0.1826	0.427755
46	-0.00371	-0.0352	0.486
47	0.007895	0.0749	0.470229
48	0.057806	0.5484	0.292388
49	0.012857	0.122	0.451598
50	-0.014037	-0.1332	0.447181
51	0.075534	0.7166	0.237746
52	-0.007334	-0.0696	0.472341
53	-0.003596	-0.0341	0.48643
54	-0.013594	-0.129	0.448837
55	-0.025591	-0.2428	0.404367
56	-0.064285	-0.6099	0.271745
57	0.026833	0.2546	0.399822
58	-0.040751	-0.3866	0.349981
59	-0.027018	-0.2563	0.399147
60	0.079255	0.7519	0.227044

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.063647	0.6038	0.273746
2	-0.14775	-1.4017	0.082225
3	-0.408364	-3.8741	0.000101
4	-0.387472	-3.6759	0.000201
5	-0.039728	-0.3769	0.353569
6	-0.032686	-0.3101	0.378607
7	-0.148752	-1.4112	0.080819
8	-0.249551	-2.3675	0.010027
9	-0.202956	-1.9254	0.028668
10	-0.148054	-1.4046	0.081796
11	-0.255348	-2.4224	0.00871
12	0.097954	0.9293	0.177617
13	-0.223946	-2.1245	0.018183
14	0.022636	0.2147	0.415226
15	0.141271	1.3402	0.091774
16	-0.011869	-0.1126	0.4553
17	-0.014134	-0.1341	0.446817
18	0.07543	0.7156	0.238048
19	0.08546	0.8107	0.209824
20	-0.008714	-0.0827	0.467151
21	-0.011485	-0.109	0.456739
22	0.107104	1.0161	0.156159
23	-0.028267	-0.2682	0.394593
24	-0.104346	-0.9899	0.162435
25	-0.0811	-0.7694	0.221841
26	-0.115547	-1.0962	0.137963
27	0.061614	0.5845	0.280166
28	-0.082142	-0.7793	0.218933
29	0.081833	0.7763	0.219792
30	-0.114384	-1.0851	0.140378
31	0.053997	0.5123	0.304862
32	-0.054159	-0.5138	0.304326
33	0.124798	1.1839	0.119778
34	0.035879	0.3404	0.367181
35	-0.021756	-0.2064	0.418475
36	-0.006473	-0.0614	0.475584
37	0.043485	0.4125	0.340464
38	-0.063107	-0.5987	0.275442
39	-0.125267	-1.1884	0.118904
40	-0.02284	-0.2167	0.414474
41	-0.065399	-0.6204	0.268273
42	0.070182	0.6658	0.253619
43	0.110944	1.0525	0.147692
44	-0.078314	-0.743	0.229723
45	0.000649	0.0062	0.497549
46	0.020138	0.191	0.42446
47	-0.013714	-0.1301	0.44839
48	-0.085793	-0.8139	0.208924
49	-0.021035	-0.1996	0.421137
50	0.022576	0.2142	0.415449
51	0.040249	0.3818	0.35174
52	0.008286	0.0786	0.468758
53	-0.065649	-0.6228	0.267496
54	0.032033	0.3039	0.380956
55	-0.004527	-0.043	0.482918
56	-0.030029	-0.2849	0.388195
57	0.038395	0.3642	0.358265
58	-0.023814	-0.2259	0.410889
59	0.01089	0.1033	0.458972
60	0.01028	0.0975	0.461262

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079473q8t7rv6prykaptk/1gvwl1229079268.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079473q8t7rv6prykaptk/1gvwl1229079268.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079473q8t7rv6prykaptk/26mbd1229079268.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229079473q8t7rv6prykaptk/26mbd1229079268.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 2 ; 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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