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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: Mon, 15 Dec 2008 04:05:07 -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/15/t1229339142qn0g58ff520hrex.htm/, Retrieved Mon, 15 Dec 2008 12:05:42 +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/15/t1229339142qn0g58ff520hrex.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 «

1961782 1787447 1953757 1828167 2078223 1777226 1538059 1678452 2262924 1616451 1829222 1763216 2138777 1565784 1781485 1962103 1775358 1837255 1917824 1878651 2124030 1948811 1947985 1719466 2139078 2086587 2020001 2405555 2152069 2791310 2397287 1885473 1978324 2165120 2052877 1726766 2267082 2501737 1916630 2177682 1859283 1718749 1819181 1463556 1979279 1723911 1528538 1635412 2255789 1698773 1635959 2054968 1794346 1938855 2112672 1446965 1610773 1576815 1509935 1769046

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	-0.604116	-4.6008	1.2e-05
2	-0.00058	-0.0044	0.498244
3	0.162932	1.2409	0.109827
4	-0.017731	-0.135	0.446524
5	-0.054585	-0.4157	0.339578
6	0.000938	0.0071	0.497162
7	0.004388	0.0334	0.486729
8	0.017926	0.1365	0.445942
9	-0.020052	-0.1527	0.439577
10	0.104851	0.7985	0.213914
11	-0.271648	-2.0688	0.021516
12	0.366577	2.7918	0.003543
13	-0.247123	-1.882	0.032426
14	-0.035759	-0.2723	0.393167
15	0.255858	1.9486	0.028096
16	-0.292835	-2.2302	0.014811
17	0.203973	1.5534	0.062883
18	-0.098606	-0.751	0.227857
19	0.084057	0.6402	0.262295
20	-0.117669	-0.8961	0.186941
21	0.051028	0.3886	0.349491
22	0.120007	0.9139	0.182264
23	-0.228935	-1.7435	0.043271
24	0.122903	0.936	0.176576
25	0.076262	0.5808	0.281814
26	-0.142803	-1.0876	0.140644
27	0.124094	0.9451	0.174272
28	-0.128057	-0.9753	0.166742
29	0.103877	0.7911	0.216053
30	-0.001754	-0.0134	0.494694
31	-0.110142	-0.8388	0.202508
32	0.101682	0.7744	0.220924
33	-0.049993	-0.3807	0.352395
34	0.095797	0.7296	0.234296
35	-0.175207	-1.3343	0.093654
36	0.152015	1.1577	0.125863
37	-0.024617	-0.1875	0.42597
38	-0.046915	-0.3573	0.361083
39	-0.03118	-0.2375	0.406569
40	0.11352	0.8645	0.195426
41	-0.085106	-0.6482	0.259722
42	0.025243	0.1922	0.42411
43	-0.020943	-0.1595	0.436916
44	0.053635	0.4085	0.342216
45	-0.08986	-0.6843	0.24824
46	0.114551	0.8724	0.193295
47	-0.076523	-0.5828	0.281149
48	-0.015773	-0.1201	0.452399

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.604116	-4.6008	1.2e-05
2	-0.575609	-4.3837	2.5e-05
3	-0.436501	-3.3243	0.00077
4	-0.250136	-1.905	0.030873
5	-0.085407	-0.6504	0.258989
6	-0.029254	-0.2228	0.41224
7	-0.10613	-0.8083	0.211121
8	-0.172866	-1.3165	0.096591
9	-0.219467	-1.6714	0.050014
10	0.128854	0.9813	0.165255
11	-0.168652	-1.2844	0.102052
12	0.149177	1.1361	0.130294
13	0.074478	0.5672	0.28638
14	-0.160894	-1.2253	0.112701
15	0.108764	0.8283	0.205441
16	-0.168579	-1.2839	0.102148
17	0.071816	0.5469	0.29326
18	-0.037509	-0.2857	0.388077
19	0.200975	1.5306	0.065655
20	0.02634	0.2006	0.420857
21	-0.083676	-0.6373	0.263233
22	0.059479	0.453	0.326128
23	-0.032302	-0.246	0.403274
24	-0.106683	-0.8125	0.209922
25	-0.067428	-0.5135	0.30477
26	0.098969	0.7537	0.227032
27	0.029207	0.2224	0.41238
28	0.119171	0.9076	0.183928
29	-0.092915	-0.7076	0.241008
30	0.061131	0.4656	0.321638
31	-0.123928	-0.9438	0.174592
32	-0.095444	-0.7269	0.235111
33	-0.033506	-0.2552	0.399746
34	-0.082517	-0.6284	0.266096
35	-0.024442	-0.1861	0.426489
36	-0.06934	-0.5281	0.299731
37	-0.072197	-0.5498	0.292271
38	0.063607	0.4844	0.314957
39	-0.160655	-1.2235	0.113042
40	-0.042278	-0.322	0.374313
41	-0.006104	-0.0465	0.48154
42	-0.052066	-0.3965	0.346587
43	0.077844	0.5928	0.277797
44	-0.084097	-0.6405	0.262197
45	-0.128702	-0.9802	0.165537
46	-0.024646	-0.1877	0.425883
47	0.03024	0.2303	0.409334
48	0.09434	0.7185	0.237676

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229339142qn0g58ff520hrex/1lcp91229339101.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229339142qn0g58ff520hrex/1lcp91229339101.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229339142qn0g58ff520hrex/2twg41229339101.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229339142qn0g58ff520hrex/2twg41229339101.ps (open in new window)

Parameters (Session):

par1 = 48 ; par2 = 1 ; par3 = 2 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 48 ; par2 = 1 ; par3 = 2 ; 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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