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paper autocorrelation function

*Unverified author*
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 09:25:08 -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/t12292719395z9b4nheyq3xc97.htm/, Retrieved Sun, 14 Dec 2008 17:25:41 +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/t12292719395z9b4nheyq3xc97.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 «
111078 150739 159129 157928 147768 137507 136919 136151 133001 125554 119647 114158 116193 152803 161761 160942 149470 139208 134588 130322 126611 122401 117352 112135 112879 148729 157230 157221 146681 136524 132111 125326 122716 116615 113719 110737 112093 143565 149946 149147 134339 122683 115614 116566 111272 104609 101802 94542 93051 124129 130374 123946 114971 105531 104919 104782 101281 94545 93248 84031 87486
 
Output produced by software:


Summary of computational transaction
Raw Inputview raw input (R code)
Raw Outputview raw output of R engine
Computing time1 seconds
R Server'Gwilym Jenkins' @ 72.249.127.135


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.7963036.21930
20.5044033.93950.000106
30.2571192.00820.02453
40.1134780.88630.189471
50.0655470.51190.305271
60.0370890.28970.386525
70.0088910.06940.472432
80.0070340.05490.478183
90.1076940.84110.201784
100.3078192.40410.009631
110.544954.25623.6e-05
120.6721945.251e-06
130.4876753.80890.000163
140.239191.86810.033274
150.0246470.19250.423997
16-0.102473-0.80030.21331
17-0.151729-1.1850.120298
18-0.179994-1.40580.082428
19-0.203336-1.58810.058717
20-0.200574-1.56650.061198
21-0.116105-0.90680.184037
220.0502120.39220.348149
230.2392631.86870.033234
240.3460872.7030.004444
250.2075981.62140.055046
260.0260450.20340.419742
27-0.129081-1.00820.158682
28-0.212618-1.66060.050963
29-0.241607-1.8870.03196
30-0.259839-2.02940.023393
31-0.270359-2.11160.019414
32-0.267237-2.08720.020528
33-0.200469-1.56570.061295
34-0.080245-0.62670.266586
350.0618350.48290.31543
360.1420551.10950.135788
370.0385860.30140.382081
38-0.087484-0.68330.248512
39-0.186189-1.45420.075511
40-0.231389-1.80720.037831
41-0.244362-1.90850.030516
42-0.252631-1.97310.026509
43-0.26962-2.10580.019673
44-0.272166-2.12570.018793
45-0.23061-1.80110.038314
46-0.149725-1.16940.123398
47-0.046092-0.360.36005
480.017750.13860.445098
49-0.040605-0.31710.376113
50-0.099223-0.7750.22068
51-0.135585-1.0590.146898
52-0.15087-1.17830.12162
53-0.148691-1.16130.12502
54-0.149724-1.16940.123399
55-0.153131-1.1960.118164
56-0.150225-1.17330.122619
57-0.121361-0.94790.17347
58-0.075424-0.58910.278992
59-0.014772-0.11540.454265
600.0220810.17250.431825


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.7963036.21930
2-0.354456-2.76840.003725
3-0.014549-0.11360.454953
40.0623540.4870.314002
50.0525850.41070.341366
6-0.080978-0.63250.264725
7-0.010473-0.08180.467539
80.0774960.60530.273626
90.2814822.19840.01586
100.2889562.25680.013807
110.3153432.46290.00831
120.073060.57060.285178
13-0.62076-4.84834e-06
140.0589750.46060.323357
15-0.073599-0.57480.283761
16-0.069981-0.54660.293335
17-0.035655-0.27850.390795
180.0418370.32680.372485
190.0210810.16460.434882
20-0.031113-0.2430.404411
21-0.116836-0.91250.182544
22-0.064468-0.50350.30821
23-0.066499-0.51940.302689
240.1634271.27640.103325
25-0.08724-0.68140.24911
260.073060.57060.285178
270.0396570.30970.378911
280.0343340.26820.394743
29-0.070315-0.54920.292444
30-0.057364-0.4480.327862
31-0.000824-0.00640.497443
32-0.045634-0.35640.361381
33-0.02543-0.19860.421612
34-0.089426-0.69840.243779
35-0.009765-0.07630.469729
36-0.010266-0.08020.468179
37-0.011044-0.08630.465772
38-0.021683-0.16930.433042
390.0312280.24390.404063
40-0.026335-0.20570.418861
41-0.017873-0.13960.444721
42-0.040395-0.31550.376732
43-0.111343-0.86960.193959
440.029480.23020.409335
45-0.039217-0.30630.380211
46-0.016052-0.12540.450323
47-0.0015-0.01170.495347
480.0216320.1690.433196
490.0811370.63370.264322
500.027090.21160.416571
51-0.015402-0.12030.452324
52-0.092874-0.72540.2355
530.0183970.14370.44311
540.0215580.16840.433422
550.0631980.49360.311683
56-0.001964-0.01530.493904
570.0412970.32250.374074
58-0.025888-0.20220.420218
59-0.058872-0.45980.323646
60-0.094839-0.74070.230854
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t12292719395z9b4nheyq3xc97/1s7ew1229271906.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t12292719395z9b4nheyq3xc97/1s7ew1229271906.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t12292719395z9b4nheyq3xc97/29efg1229271906.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t12292719395z9b4nheyq3xc97/29efg1229271906.ps (open in new window)


 
Parameters (Session):
par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 12 ;
 
Parameters (R input):
par1 = 60 ; par2 = 1 ; par3 = 0 ; 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')
 




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