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*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: Sun, 14 Dec 2008 06:27:46 -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/14/t1229261350ybhz2cjxt7pqima.htm/, Retrieved Sun, 14 Dec 2008 14:29:12 +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/14/t1229261350ybhz2cjxt7pqima.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 «

0 9 1 4 6 21 24 23 22 21 20 16 18 18 24 16 15 24 18 15 4 3 6 5 12 12 12 14 12 17 12 20 21 15 22 19 19 26 25 19 20 30 31 35 33 26 25 17 14 8 12 7 4 10 8 16 14 20 9 10

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	-0.156431	-1.0724	0.1445
2	0.09724	0.6666	0.254129
3	0.091326	0.6261	0.267139
4	-0.046954	-0.3219	0.374479
5	0.081791	0.5607	0.288822
6	-0.114549	-0.7853	0.218107
7	-0.0255	-0.1748	0.430987
8	-0.065657	-0.4501	0.327346
9	0.040769	0.2795	0.390545
10	0.160005	1.0969	0.139128
11	-0.113963	-0.7813	0.219275
12	-0.315786	-2.1649	0.017752
13	0.107347	0.7359	0.232713
14	-0.149316	-1.0237	0.155618
15	-0.08229	-0.5642	0.287666
16	-0.091944	-0.6303	0.265763
17	-0.075193	-0.5155	0.304312
18	0.068024	0.4663	0.32156
19	-0.032466	-0.2226	0.412414
20	0.063207	0.4333	0.333379
21	-0.123777	-0.8486	0.20021
22	-0.183593	-1.2587	0.107186
23	0.124907	0.8563	0.198083
24	-0.09152	-0.6274	0.266707
25	-0.009105	-0.0624	0.475245
26	0.042684	0.2926	0.385547
27	0.023827	0.1634	0.435472
28	0.142972	0.9802	0.166012
29	0.057809	0.3963	0.346831
30	0.048226	0.3306	0.371199
31	0.009893	0.0678	0.473106
32	0.079273	0.5435	0.294687
33	0.042357	0.2904	0.386399
34	0.08315	0.57	0.28568
35	-0.063242	-0.4336	0.333294
36	0.098013	0.6719	0.252454
37	-0.045668	-0.3131	0.377801
38	0.011778	0.0807	0.467993
39	-0.095907	-0.6575	0.257031
40	-0.030206	-0.2071	0.418419
41	0.009027	0.0619	0.475457
42	-0.096304	-0.6602	0.256166
43	0.12824	0.8792	0.191891
44	-0.168587	-1.1558	0.126807
45	0.104753	0.7182	0.238109
46	-0.038663	-0.2651	0.396061
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.156431	-1.0724	0.1445
2	0.074595	0.5114	0.305733
3	0.12068	0.8273	0.206113
4	-0.024044	-0.1648	0.43489
5	0.053339	0.3657	0.358125
6	-0.103396	-0.7089	0.240959
7	-0.066307	-0.4546	0.325754
8	-0.077473	-0.5311	0.298915
9	0.058519	0.4012	0.34505
10	0.202911	1.3911	0.085374
11	-0.046743	-0.3205	0.375023
12	-0.445392	-3.0535	0.001859
13	-0.05329	-0.3653	0.358248
14	-0.031318	-0.2147	0.415464
15	-0.047945	-0.3287	0.371923
16	-0.083038	-0.5693	0.285939
17	-0.022126	-0.1517	0.440042
18	0.006431	0.0441	0.482511
19	-0.090137	-0.6179	0.269796
20	-0.067457	-0.4625	0.322941
21	-0.049672	-0.3405	0.367486
22	-0.186569	-1.2791	0.103578
23	-0.064706	-0.4436	0.329683
24	-0.131271	-0.8999	0.186368
25	0.024665	0.1691	0.433223
26	-0.005123	-0.0351	0.486066
27	-0.070935	-0.4863	0.314506
28	-0.043931	-0.3012	0.382304
29	0.020854	0.143	0.443464
30	-0.009448	-0.0648	0.474315
31	-0.015051	-0.1032	0.459127
32	0.127699	0.8755	0.192889
33	-0.055347	-0.3794	0.353034
34	-0.03278	-0.2247	0.411581
35	-0.071102	-0.4875	0.314102
36	-0.013428	-0.0921	0.463523
37	-0.092398	-0.6334	0.264756
38	-0.086755	-0.5948	0.277428
39	-0.182638	-1.2521	0.108364
40	0.024873	0.1705	0.432667
41	0.041279	0.283	0.389212
42	-0.091696	-0.6286	0.266315
43	0.085605	0.5869	0.280046
44	-0.110033	-0.7543	0.227202
45	0.008523	0.0584	0.476827
46	-0.037008	-0.2537	0.400412
47	NA	NA	NA
48	NA	NA	NA
49	NA	NA	NA
50	NA	NA	NA
51	NA	NA	NA
52	NA	NA	NA
53	NA	NA	NA
54	NA	NA	NA
55	NA	NA	NA
56	NA	NA	NA
57	NA	NA	NA
58	NA	NA	NA
59	NA	NA	NA
60	NA	NA	NA

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261350ybhz2cjxt7pqima/1gggm1229261264.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261350ybhz2cjxt7pqima/1gggm1229261264.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261350ybhz2cjxt7pqima/2ykyr1229261264.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229261350ybhz2cjxt7pqima/2ykyr1229261264.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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