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paper autocorrelation function (d=1)

*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 09:31:59 -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/t1229272345by3ur6o3yj1fh7x.htm/, Retrieved Sun, 14 Dec 2008 17:32:25 +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/t1229272345by3ur6o3yj1fh7x.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 time3 seconds
R Server'Herman Ole Andreas Wold' @ 193.190.124.10:1001


Autocorrelation Function
Time lag kACF(k)T-STATP-value
10.3082192.38750.010066
2-0.078261-0.60620.273333
3-0.303754-2.35290.010963
4-0.27043-2.09470.020212
5-0.060569-0.46920.320326
6-0.002759-0.02140.491509
7-0.077508-0.60040.27526
8-0.264981-2.05250.022244
9-0.26471-2.05040.022349
10-0.089492-0.69320.245428
110.2855752.21210.015391
120.7779216.02580
130.2542951.96980.026744
14-0.054705-0.42370.336635
15-0.248518-1.9250.029486
16-0.220393-1.70720.046482
17-0.056687-0.43910.331086
18-0.027881-0.2160.414874
19-0.05278-0.40880.342059
20-0.193806-1.50120.069272
21-0.179972-1.39410.084221
22-0.070698-0.54760.292991
230.2049281.58740.058843
240.579514.48891.7e-05
250.1794521.390.084828
26-0.052172-0.40410.34378
27-0.199687-1.54680.063589
28-0.152388-1.18040.121251
29-0.038236-0.29620.384058
30-0.000121-9e-040.499628
31-0.031804-0.24640.403125
32-0.145082-1.12380.132787
33-0.118618-0.91880.180936
34-0.067722-0.52460.300907
350.1394221.080.142241
360.3795712.94010.002327
370.1146850.88830.18895
38-0.048168-0.37310.355193
39-0.137754-1.0670.145115
40-0.102092-0.79080.216086
41-0.017383-0.13460.44667
420.0329160.2550.399809
43-0.019683-0.15250.439667
44-0.091325-0.70740.241028
45-0.073346-0.56810.286032
46-0.065985-0.51110.305572
470.0659280.51070.305726
480.1914121.48270.071698
490.0433340.33570.369146
50-0.031361-0.24290.404447
51-0.04711-0.36490.358228
52-0.033144-0.25670.399131
530.0079850.06190.475442
540.00990.07670.469565
55-0.015611-0.12090.452079
56-0.034783-0.26940.394263
57-0.013893-0.10760.45733
58-0.038016-0.29450.384709
590.0183320.1420.443777
60NANANA


Partial Autocorrelation Function
Time lag kPACF(k)T-STATP-value
10.3082192.38750.010066
2-0.191447-1.48290.071662
3-0.247762-1.91920.029862
4-0.128055-0.99190.162613
50.0076940.05960.476336
6-0.112555-0.87180.193383
7-0.191121-1.48040.071997
8-0.328087-2.54140.006822
9-0.279708-2.16660.017123
10-0.249194-1.93020.029153
110.0195420.15140.440095
120.6304684.88364e-06
13-0.175937-1.36280.089019
140.0213390.16530.434634
150.1074840.83260.204196
160.0024960.01930.492318
17-0.070219-0.54390.294258
18-0.056048-0.43410.332869
190.108170.83790.202712
200.0762380.59050.278525
210.0626880.48560.314516
220.0399910.30980.378906
23-0.091458-0.70840.240711
240.0180540.13980.444626
25-0.070464-0.54580.293609
26-0.072598-0.56230.287989
27-0.007794-0.06040.476029
280.0636270.49290.311956
290.0207730.16090.436353
300.0879280.68110.249217
31-0.013462-0.10430.458649
32-0.01932-0.14970.440769
330.0037740.02920.488388
34-0.036266-0.28090.389871
35-0.03121-0.24180.404897
36-0.131541-1.01890.156168
370.0511840.39650.346581
380.0148270.11490.454473
390.0033550.0260.489677
40-0.036378-0.28180.389539
41-0.016353-0.12670.449813
420.0374850.29040.386272
43-0.078875-0.6110.271765
44-0.001419-0.0110.495634
450.0009430.00730.497099
46-0.010409-0.08060.468003
47-0.032388-0.25090.401384
48-0.131782-1.02080.155729
49-0.045507-0.35250.36285
50-0.003591-0.02780.488951
510.0522720.40490.343495
52-0.013078-0.10130.459825
53-0.00554-0.04290.482957
54-0.113333-0.87790.191757
550.0173430.13430.446793
560.001220.00940.496246
57-0.011327-0.08770.465188
580.0181810.14080.444238
590.0521610.4040.343812
60NANANA
 
Charts produced by software:
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272345by3ur6o3yj1fh7x/115391229272314.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272345by3ur6o3yj1fh7x/115391229272314.ps (open in new window)


http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272345by3ur6o3yj1fh7x/2rj491229272314.png (open in new window)
http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/14/t1229272345by3ur6o3yj1fh7x/2rj491229272314.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')
 




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