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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 08:30:42 -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/t1229268714gy16ywx136fn6xz.htm/, Retrieved Sun, 14 Dec 2008 16:31:54 +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/t1229268714gy16ywx136fn6xz.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 «

2074 2049 2406 2558 2251 2059 2397 1747 1707 2319 1631 1627 1791 2034 1997 2169 2028 2253 2218 1855 2187 1852 1570 1851 1954 1828 2251 2277 2085 2282 2266 1878 2267 2069 1746 2299 2360 2214 2825 2355 2333 3016 2155 2172 2150 2533 2058 2160 2259 2498 2695 2799 2945 2930 2318 2540 2570 2669 2450 2842

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	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.409202	-3.1431	0.001308
2	-0.199076	-1.5291	0.065788
3	0.390929	3.0028	0.00196
4	-0.161997	-1.2443	0.109151
5	-0.238342	-1.8307	0.036095
6	0.228363	1.7541	0.042304
7	-0.191392	-1.4701	0.073422
8	-0.07119	-0.5468	0.293281
9	0.215943	1.6587	0.051243
10	-0.22059	-1.6944	0.047732
11	0.086866	0.6672	0.253612
12	0.331138	2.5435	0.006807
13	-0.335737	-2.5788	0.006213
14	0.104714	0.8043	0.21222
15	0.242318	1.8613	0.033844
16	-0.307904	-2.3651	0.010667
17	0.007636	0.0587	0.476712
18	0.169131	1.2991	0.099478
19	-0.285891	-2.196	0.016019
20	0.036308	0.2789	0.390653
21	0.223995	1.7205	0.045288
22	-0.271355	-2.0843	0.020735
23	0.179148	1.3761	0.087002
24	0.128235	0.985	0.164324
25	-0.162222	-1.246	0.108836
26	0.090147	0.6924	0.245691
27	0.066268	0.509	0.306319
28	-0.205461	-1.5782	0.059936
29	0.112013	0.8604	0.196528
30	-0.018808	-0.1445	0.442813
31	-0.250705	-1.9257	0.029483
32	0.284872	2.1881	0.016316
33	-0.048915	-0.3757	0.354234
34	-0.135018	-1.0371	0.151962
35	0.160279	1.2311	0.11158
36	0.068445	0.5257	0.30052
37	-0.099623	-0.7652	0.223595
38	0.011883	0.0913	0.46379
39	0.088899	0.6828	0.248688
40	-0.101148	-0.7769	0.220152
41	-0.03463	-0.266	0.395585
42	0.014087	0.1082	0.4571
43	0.001119	0.0086	0.496587
44	0.040921	0.3143	0.377194
45	-0.107636	-0.8268	0.205851
46	0.037461	0.2877	0.387277
47	0.070384	0.5406	0.2954
48	-0.01636	-0.1257	0.450213
49	-0.02707	-0.2079	0.418001
50	0.060106	0.4617	0.323004
51	-0.001605	-0.0123	0.495102
52	-0.083818	-0.6438	0.261095
53	0.037819	0.2905	0.386229
54	0.001003	0.0077	0.496939
55	-0.019534	-0.15	0.440621
56	-0.004767	-0.0366	0.485457
57	0.021821	0.1676	0.433731
58	-0.002259	-0.0174	0.493108
59	NA	NA	NA
60	NA	NA	NA

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.409202	-3.1431	0.001308
2	-0.440238	-3.3815	0.000642
3	0.13924	1.0695	0.144595
4	0.045741	0.3513	0.363293
5	-0.213236	-1.6379	0.053383
6	-0.131802	-1.0124	0.157743
7	-0.310906	-2.3881	0.010077
8	-0.229277	-1.7611	0.0417
9	-0.051746	-0.3975	0.34623
10	-0.253274	-1.9454	0.028246
11	-0.13297	-1.0214	0.155626
12	0.219348	1.6848	0.048651
13	-0.019433	-0.1493	0.440926
14	0.025325	0.1945	0.423218
15	0.076359	0.5865	0.27988
16	0.020932	0.1608	0.436406
17	0.040771	0.3132	0.377629
18	0.035108	0.2697	0.394178
19	-0.068449	-0.5258	0.300512
20	-0.094471	-0.7256	0.235463
21	0.098151	0.7539	0.226949
22	-0.020585	-0.1581	0.437452
23	0.046565	0.3577	0.360933
24	0.000107	8e-04	0.499673
25	0.112116	0.8612	0.196313
26	0.018093	0.139	0.44497
27	-0.043399	-0.3334	0.370024
28	-0.049672	-0.3815	0.352088
29	0.00662	0.0508	0.47981
30	-0.011728	-0.0901	0.464261
31	-0.181171	-1.3916	0.084634
32	0.03876	0.2977	0.383482
33	-0.019557	-0.1502	0.440552
34	0.115157	0.8845	0.189999
35	-0.144816	-1.1123	0.13525
36	-0.073907	-0.5677	0.286199
37	0.08827	0.678	0.250206
38	-0.107386	-0.8248	0.20639
39	0.032362	0.2486	0.402276
40	0.040001	0.3073	0.379865
41	-0.043017	-0.3304	0.371128
42	0.050533	0.3881	0.349652
43	0.150426	1.1554	0.126284
44	0.059449	0.4566	0.324804
45	-0.019535	-0.1501	0.440618
46	-0.095281	-0.7319	0.233574
47	-0.10937	-0.8401	0.202126
48	-0.060026	-0.4611	0.323223
49	-0.023893	-0.1835	0.427507
50	-0.003939	-0.0303	0.487981
51	-0.029473	-0.2264	0.410842
52	-0.045631	-0.3505	0.363608
53	-0.070713	-0.5432	0.294534
54	-0.052597	-0.404	0.343834
55	-0.063904	-0.4909	0.312675
56	0.024373	0.1872	0.42607
57	-0.015109	-0.1161	0.454002
58	-0.013988	-0.1074	0.4574
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/t1229268714gy16ywx136fn6xz/1k8od1229268636.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229268714gy16ywx136fn6xz/1k8od1229268636.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229268714gy16ywx136fn6xz/2k03g1229268636.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229268714gy16ywx136fn6xz/2k03g1229268636.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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