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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 07:10:48 -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/t1229350307banbwtv4z70q0po.htm/, Retrieved Mon, 15 Dec 2008 15:11:50 +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/t1229350307banbwtv4z70q0po.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 «

6392.3 8686.4 9244.7 8182.7 7451.4 7988.8 8243.5 8843 9092.7 8246.7 9311.7 8341.2 7116.7 9635.7 9815.4 8611.3 8297.8 8715.1 8919.9 10085.8 9511.7 8991.3 10311.2 8895.4 7449.8 10084 9859.4 9100.1 8920.8 8502.7 8599.6 10394.4 9290.4 8742.2 10217.3 8639 8139.6 10779.1 10427.7 10349.1 10036.4 9492.1 10638.8 12054.5 10324.7 11817.3 11008.9 9996.6 9419.5 11958.8 12594.6 11890.6 10871.7 11835.7 11542.2 13093.7 11180.2 12035.7 12112 10875.2 9897.3 11672.1 12385.7 11405.6 9830.9 11025.1 10853.8 12252.6 11839.4 11669.1 11601.4 11178.4 9516.4 12102.8 12989 11610.2 10205.5 11356.2 11307.1 12648.6 11947.2 11714.1 12192.5 11268.8 9097.4 12639.8 13040.1 11687.3 11191.7 11391.9 11793.1 13933.2 12778.1 11810.3 13698.4 11956.6 10723.8 13938.9 13979.8 13807.4 12973.9 12509.8 12934.1 14908.3 13772.1 13012.6 14049.9 11816.5 11593.2 14466.2 13615.9 14733.9 13880.7 13527.5 13584 16170.2 13260.6 14741.9 15486.5 13154.5 12621.2

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	1 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.279471	-3.0615	0.001359
2	-0.356274	-3.9028	7.9e-05
3	0.153147	1.6776	0.04801
4	-0.033942	-0.3718	0.355343
5	-0.116187	-1.2728	0.102781
6	0.350019	3.8343	0.000101
7	-0.241949	-2.6504	0.004562
8	0.107754	1.1804	0.120091
9	0.146427	1.604	0.055669
10	-0.47861	-5.2429	0
11	-0.102611	-1.124	0.131618
12	0.75072	8.2237	0
13	-0.244913	-2.6829	0.004164
14	-0.203907	-2.2337	0.013678
15	0.043185	0.4731	0.318512
16	-0.05616	-0.6152	0.269794
17	-0.003639	-0.0399	0.484135
18	0.245204	2.6861	0.004127
19	-0.253728	-2.7795	0.003161
20	0.210388	2.3047	0.011452
21	0.056276	0.6165	0.269376
22	-0.446013	-4.8858	2e-06
23	0.003974	0.0435	0.482676
24	0.555262	6.0826	0
25	-0.180471	-1.977	0.025169
26	-0.12082	-1.3235	0.09409
27	-0.072839	-0.7979	0.21325
28	0.012135	0.1329	0.447233
29	0.020339	0.2228	0.412033
30	0.135954	1.4893	0.069516
31	-0.174267	-1.909	0.029325
32	0.215026	2.3555	0.01006
33	-0.045134	-0.4944	0.310959
34	-0.288481	-3.1602	0.000998
35	-0.026953	-0.2953	0.384155
36	0.416126	4.5584	6e-06
37	-0.033643	-0.3685	0.356561
38	-0.163854	-1.7949	0.037591
39	-0.097115	-1.0638	0.144769
40	0.094025	1.03	0.152543
41	-0.028536	-0.3126	0.377563
42	0.091739	1.0049	0.158472
43	-0.065251	-0.7148	0.238063
44	0.110648	1.2121	0.11393
45	-0.0282	-0.3089	0.378962
46	-0.181852	-1.9921	0.024316
47	-0.102222	-1.1198	0.13252
48	0.376729	4.1269	3.4e-05
49	0.018773	0.2056	0.418707
50	-0.217647	-2.3842	0.009342
51	-0.017926	-0.1964	0.422327
52	0.087789	0.9617	0.169071
53	-0.097806	-1.0714	0.143067
54	0.140386	1.5379	0.063358
55	-0.058547	-0.6413	0.26126
56	0.01595	0.1747	0.430797
57	0.063309	0.6935	0.244662
58	-0.168279	-1.8434	0.033869
59	-0.1547	-1.6947	0.046367
60	0.412209	4.5155	7e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.279471	-3.0615	0.001359
2	-0.47118	-5.1615	0
3	-0.174307	-1.9094	0.029297
4	-0.288328	-3.1585	0.001003
5	-0.346417	-3.7948	0.000117
6	0.118981	1.3034	0.097472
7	-0.252958	-2.771	0.003239
8	0.30695	3.3625	0.000519
9	0.287479	3.1492	0.001033
10	-0.301997	-3.3082	0.00062
11	-0.508725	-5.5728	0
12	0.266533	2.9197	0.002093
13	0.160698	1.7604	0.040448
14	0.085151	0.9328	0.176402
15	-0.164457	-1.8015	0.037065
16	0.080957	0.8868	0.18847
17	0.009911	0.1086	0.456862
18	-0.005848	-0.0641	0.474514
19	-0.01313	-0.1438	0.442938
20	0.00929	0.1018	0.459555
21	-0.102409	-1.1218	0.132086
22	-0.075105	-0.8227	0.206144
23	0.026429	0.2895	0.386345
24	0.049786	0.5454	0.293254
25	0.020699	0.2267	0.410503
26	-0.030389	-0.3329	0.369899
27	-0.141288	-1.5477	0.06216
28	0.110657	1.2122	0.113911
29	-0.099164	-1.0863	0.139764
30	-0.082826	-0.9073	0.18303
31	-0.007811	-0.0856	0.465979
32	-0.060656	-0.6645	0.253838
33	-0.158292	-1.734	0.042743
34	0.077452	0.8484	0.198939
35	0.014916	0.1634	0.435242
36	-0.071161	-0.7795	0.218601
37	0.074061	0.8113	0.209401
38	-0.001427	-0.0156	0.493777
39	0.0336	0.3681	0.356735
40	0.046731	0.5119	0.304828
41	-0.007125	-0.0781	0.468958
42	-0.016084	-0.1762	0.43022
43	0.033868	0.371	0.355643
44	-0.050418	-0.5523	0.290886
45	0.017516	0.1919	0.424081
46	0.036046	0.3949	0.346822
47	0.075638	0.8286	0.204495
48	0.015254	0.1671	0.433787
49	-0.010287	-0.1127	0.455234
50	0.00927	0.1015	0.459644
51	0.130747	1.4323	0.077335
52	0.028187	0.3088	0.379014
53	-0.019158	-0.2099	0.417066
54	0.019632	0.2151	0.415044
55	-0.0435	-0.4765	0.317284
56	-0.089944	-0.9853	0.163232
57	-0.001889	-0.0207	0.491762
58	-0.003102	-0.034	0.486476
59	-0.012551	-0.1375	0.445435
60	0.006286	0.0689	0.472609

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350307banbwtv4z70q0po/18pyz1229350246.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350307banbwtv4z70q0po/18pyz1229350246.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350307banbwtv4z70q0po/2gnjs1229350246.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/15/t1229350307banbwtv4z70q0po/2gnjs1229350246.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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