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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 08:50:28 -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/t1229269861ejla549ynty14ne.htm/, Retrieved Sun, 14 Dec 2008 16:51:01 +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/t1229269861ejla549ynty14ne.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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.159946	1.1081	0.136661
2	0.130298	0.9027	0.185589
3	0.362996	2.5149	0.007655
4	0.18309	1.2685	0.105371
5	0.009554	0.0662	0.473749
6	0.141305	0.979	0.166246
7	0.151799	1.0517	0.149103
8	0.004048	0.028	0.488871
9	0.003631	0.0252	0.490018
10	0.05395	0.3738	0.355107
11	0.052199	0.3616	0.359602
12	-0.135809	-0.9409	0.175731
13	0.052633	0.3647	0.358486
14	0.081161	0.5623	0.288263
15	0.049415	0.3424	0.366789
16	0.002012	0.0139	0.494469
17	0.043251	0.2997	0.382868
18	0.158709	1.0996	0.138502
19	-0.009958	-0.069	0.472641
20	-0.146455	-1.0147	0.157676
21	0.04359	0.302	0.381978
22	-0.099498	-0.6893	0.246964
23	-0.06657	-0.4612	0.323365
24	-0.156666	-1.0854	0.14158
25	-0.078424	-0.5433	0.294705
26	-0.042342	-0.2934	0.385259
27	-0.168987	-1.1708	0.123734
28	-0.03388	-0.2347	0.40771
29	-0.014274	-0.0989	0.460818
30	-0.121193	-0.8397	0.202633
31	-0.134831	-0.9341	0.177455
32	0.157635	1.0921	0.140115
33	-0.051704	-0.3582	0.360876
34	-0.095595	-0.6623	0.255473
35	0.037684	0.2611	0.397572
36	-0.010112	-0.0701	0.472219
37	-0.179251	-1.2419	0.110156
38	-0.103148	-0.7146	0.23915
39	0.005121	0.0355	0.485922
40	-0.127875	-0.8859	0.190033
41	-0.087277	-0.6047	0.274123
42	-0.066588	-0.4613	0.32332
43	-0.12023	-0.833	0.204492
44	-0.139517	-0.9666	0.169294
45	-0.086069	-0.5963	0.276887
46	-0.048916	-0.3389	0.368081
47	-0.058861	-0.4078	0.342618
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	0.159946	1.1081	0.136661
2	0.107464	0.7445	0.230092
3	0.33972	2.3536	0.011366
4	0.096832	0.6709	0.252759
5	-0.096704	-0.67	0.253038
6	0.006466	0.0448	0.482228
7	0.062749	0.4347	0.33285
8	-0.015052	-0.1043	0.45869
9	-0.05536	-0.3835	0.351504
10	-0.029857	-0.2069	0.4185
11	0.05726	0.3967	0.34667
12	-0.13978	-0.9684	0.168843
13	0.065479	0.4537	0.326062
14	0.066268	0.4591	0.32411
15	0.140429	0.9729	0.167736
16	-0.023536	-0.1631	0.435576
17	-0.06191	-0.4289	0.334949
18	0.13686	0.9482	0.173891
19	-0.024641	-0.1707	0.432581
20	-0.236379	-1.6377	0.054014
21	-0.058033	-0.4021	0.34471
22	-0.118194	-0.8189	0.208453
23	0.140767	0.9753	0.16716
24	-0.223613	-1.5492	0.063947
25	-0.013241	-0.0917	0.463644
26	0.115642	0.8012	0.213485
27	-0.018422	-0.1276	0.449486
28	0.052396	0.363	0.359096
29	-0.044268	-0.3067	0.380201
30	0.032075	0.2222	0.412542
31	-0.106789	-0.7399	0.231495
32	0.096003	0.6651	0.254575
33	0.001706	0.0118	0.495309
34	-0.074136	-0.5136	0.304935
35	0.038716	0.2682	0.394835
36	-0.156442	-1.0839	0.14192
37	-0.083029	-0.5752	0.283908
38	0.024698	0.1711	0.432428
39	0.014847	0.1029	0.459251
40	0.045336	0.3141	0.377403
41	-0.043953	-0.3045	0.381026
42	-0.018344	-0.1271	0.449699
43	-0.0784	-0.5432	0.294763
44	-0.095203	-0.6596	0.256337
45	0.021736	0.1506	0.440466
46	-0.043548	-0.3017	0.382089
47	0.036349	0.2518	0.401121
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/t1229269861ejla549ynty14ne/177xy1229269822.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229269861ejla549ynty14ne/177xy1229269822.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229269861ejla549ynty14ne/2gsvd1229269822.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229269861ejla549ynty14ne/2gsvd1229269822.ps (open in new window)

Parameters (Session):

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

Parameters (R input):

par1 = 60 ; 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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