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autocor2

*Unverified author*

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 07:13:47 -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/t1229091266di0q6cgpou7taqf.htm/, Retrieved Fri, 12 Dec 2008 15:14:28 +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/t1229091266di0q6cgpou7taqf.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:

Dataseries X:

» Textbox « » Textfile « » CSV «

60804 57907 54355 52536 49081 48877 64599 75314 71209 65210 59829 57656 57428 55315 52790 51050 48519 48354 65333 73990 72755 67424 59214 57427 56681 55437 53600 51641 49478 50124 71313 76208 74387 69520 64735 63413 62553 60109 57764 55667 53103 55301 76795 80928 79213 72759 67802 66940 66396 67539 67776 68014 68251 68488 68725 68962 69200 69437 68212 65444 63181 61198 59010 56388 53723 55340 75352 79817 78289 71892 66448 64167 61250 59580 56417 54662 53349 55385 73546 77683 74995 67282 60742 57283 57314 54704 51578 49962 46252 47234 64708 68753 62970 57474 52494 51831 51663 49637 46679 45557 41630 44417 60070 63157

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	0.37014	3.7565	0.000143
2	-0.158175	-1.6053	0.055744
3	-0.323035	-3.2784	0.000712
4	-0.284097	-2.8833	0.002396
5	-0.095656	-0.9708	0.16696
6	-0.000103	-0.001	0.499583
7	-0.06822	-0.6924	0.245136
8	-0.224112	-2.2745	0.012505
9	-0.235214	-2.3872	0.009402
10	-0.109427	-1.1106	0.13467
11	0.317566	3.2229	0.00085
12	0.729259	7.4012	0
13	0.245316	2.4897	0.007193
14	-0.11277	-1.1445	0.127536
15	-0.233643	-2.3712	0.009794
16	-0.208758	-2.1187	0.018262
17	-0.070827	-0.7188	0.236942
18	-0.005512	-0.0559	0.477748
19	-0.072135	-0.7321	0.232887
20	-0.205993	-2.0906	0.019512
21	-0.216589	-2.1981	0.015089
22	-0.08676	-0.8805	0.190314
23	0.284735	2.8897	0.002351
24	0.607049	6.1609	0
25	0.186641	1.8942	0.030502
26	-0.097542	-0.9899	0.16226
27	-0.180231	-1.8291	0.035136
28	-0.158312	-1.6067	0.055592
29	-0.064484	-0.6544	0.257143
30	-0.029725	-0.3017	0.381754
31	-0.06078	-0.6169	0.269347
32	-0.153298	-1.5558	0.06141
33	-0.163251	-1.6568	0.0503
34	-0.065337	-0.6631	0.254374
35	0.223928	2.2726	0.012563
36	0.495453	5.0283	1e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.37014	3.7565	0.000143
2	-0.34204	-3.4713	0.000379
3	-0.154665	-1.5697	0.059778
4	-0.168624	-1.7113	0.045014
5	-0.03778	-0.3834	0.351097
6	-0.123913	-1.2576	0.105694
7	-0.201393	-2.0439	0.021757
8	-0.324748	-3.2958	0.000673
9	-0.300201	-3.0467	0.001469
10	-0.380033	-3.8569	1e-04
11	0.039736	0.4033	0.34379
12	0.456921	4.6372	5e-06
13	-0.327873	-3.3275	0.000608
14	0.151201	1.5345	0.063984
15	0.043956	0.4461	0.328231
16	0.038921	0.395	0.346828
17	0.019118	0.194	0.423268
18	0.015743	0.1598	0.436685
19	-0.000407	-0.0041	0.498356
20	-0.046574	-0.4727	0.318724
21	-0.100244	-1.0174	0.155681
22	-0.021319	-0.2164	0.414567
23	-0.046744	-0.4744	0.318111
24	0.103097	1.0463	0.148931
25	-0.127718	-1.2962	0.098903
26	-0.010077	-0.1023	0.45937
27	0.021142	0.2146	0.415264
28	-0.024785	-0.2515	0.400949
29	-0.057453	-0.5831	0.280556
30	-0.059645	-0.6053	0.273144
31	0.025901	0.2629	0.396588
32	0.008447	0.0857	0.465925
33	-0.028993	-0.2942	0.384582
34	-0.015892	-0.1613	0.436092
35	-0.061118	-0.6203	0.268221
36	0.076864	0.7801	0.218564

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229091266di0q6cgpou7taqf/16kof1229091225.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229091266di0q6cgpou7taqf/16kof1229091225.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229091266di0q6cgpou7taqf/2xdgk1229091225.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/12/t1229091266di0q6cgpou7taqf/2xdgk1229091225.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

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