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Gilliam

*Unverified author*

R Software Module: rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Tue, 16 Dec 2008 04:36:24 -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/16/t1229427441a06k1hcowuxdevd.htm/, Retrieved Tue, 16 Dec 2008 12:37:23 +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/16/t1229427441a06k1hcowuxdevd.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 «

101.0 98.7 105.1 98.4 101.7 102.9 92.2 94.9 92.8 98.5 94.3 87.4 103.4 101.2 109.6 111.9 108.9 105.6 107.8 97.5 102.4 105.6 99.8 96.2 113.1 107.4 116.8 112.9 105.3 109.3 107.9 101.1 114.7 116.2 108.4 113.4 108.7 112.6 124.2 114.9 110.5 121.5 118.1 111.7 132.7 119.0 116.7 120.1 113.4 106.6 116.3 112.6 111.6 125.1 110.7 109.6 114.2 113.4 116.0 109.6 117.8 115.8 125.3 113.0 120.5 116.6 111.8 115.2 118.6 122.4 116.4 114.5 119.8 115.8 127.8 118.8 119.7 118.6 120.8 115.9 109.7 114.8 116.2 112.2

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	0.374449	3.1773	0.001095
2	0.322554	2.737	0.003903
3	0.283345	2.4043	0.00939
4	0.039576	0.3358	0.368993
5	0.037825	0.321	0.374585
6	0.132864	1.1274	0.131661
7	0.094786	0.8043	0.21194
8	0.047043	0.3992	0.345475
9	0.248453	2.1082	0.019248
10	-0.052984	-0.4496	0.327182
11	0.036499	0.3097	0.378841
12	-0.206125	-1.749	0.042274
13	-0.218723	-1.8559	0.033779
14	-0.027191	-0.2307	0.409093
15	-0.096078	-0.8153	0.208808
16	-0.057372	-0.4868	0.313933
17	0.06994	0.5935	0.277365
18	-0.000124	-0.0011	0.499581
19	-0.090029	-0.7639	0.223705
20	0.169162	1.4354	0.077754
21	-0.052043	-0.4416	0.330052
22	-0.010864	-0.0922	0.463404
23	0.128273	1.0884	0.140017
24	0.033716	0.2861	0.387815
25	0.08973	0.7614	0.224456
26	0.189631	1.6091	0.055988
27	0.117999	1.0013	0.160029
28	0.082999	0.7043	0.241768
29	0.147477	1.2514	0.107423
30	-0.029494	-0.2503	0.401548
31	0.000789	0.0067	0.49734
32	-0.082764	-0.7023	0.242387
33	-0.175329	-1.4877	0.070596
34	-0.114105	-0.9682	0.16809
35	-0.133258	-1.1307	0.13096
36	-0.184844	-1.5685	0.06058
37	-0.072399	-0.6143	0.270467
38	-0.166051	-1.409	0.081572
39	-0.216127	-1.8339	0.035401
40	-0.094137	-0.7988	0.213524
41	-0.188548	-1.5999	0.057002
42	-0.090474	-0.7677	0.222588
43	0.002109	0.0179	0.492885
44	-0.004413	-0.0374	0.485117
45	-0.042263	-0.3586	0.360468
46	0.013878	0.1178	0.453293
47	-0.081421	-0.6909	0.245932
48	-0.094736	-0.8039	0.21206
49	-0.029919	-0.2539	0.40016
50	-0.074581	-0.6328	0.264422
51	0.005357	0.0455	0.481933
52	0.021121	0.1792	0.429135
53	0.046095	0.3911	0.34843
54	0.015386	0.1306	0.448244
55	-0.024572	-0.2085	0.417713
56	-0.047248	-0.4009	0.344835
57	-0.048407	-0.4108	0.341238
58	-0.058625	-0.4974	0.310195
59	-0.050736	-0.4305	0.334056
60	-0.022422	-0.1903	0.424823

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.374449	3.1773	0.001095
2	0.212078	1.7995	0.038061
3	0.132462	1.124	0.132377
4	-0.175357	-1.488	0.070565
5	-0.029972	-0.2543	0.399988
6	0.161653	1.3717	0.087212
7	0.081492	0.6915	0.245744
8	-0.075987	-0.6448	0.260562
9	0.202789	1.7207	0.044798
10	-0.240532	-2.041	0.02246
11	0.057789	0.4904	0.312685
12	-0.377605	-3.2041	0.00101
13	0.055333	0.4695	0.320059
14	0.198442	1.6838	0.048272
15	-0.024335	-0.2065	0.418496
16	-0.098798	-0.8383	0.202311
17	0.118406	1.0047	0.159201
18	-0.085008	-0.7213	0.236525
19	0.079072	0.6709	0.2522
20	0.125158	1.062	0.145893
21	0.038864	0.3298	0.371264
22	-0.028658	-0.2432	0.404284
23	0.004871	0.0413	0.483572
24	-0.042103	-0.3573	0.360972
25	0.054738	0.4645	0.321858
26	0.129366	1.0977	0.137995
27	0.060385	0.5124	0.304976
28	-0.070096	-0.5948	0.276926
29	-0.040528	-0.3439	0.365964
30	-0.083714	-0.7103	0.239894
31	-0.092228	-0.7826	0.218219
32	-0.039383	-0.3342	0.369608
33	-0.062698	-0.532	0.298178
34	-0.105144	-0.8922	0.187634
35	-0.020036	-0.17	0.432739
36	-0.112364	-0.9534	0.171778
37	0.052973	0.4495	0.327214
38	-0.065032	-0.5518	0.291391
39	0.067839	0.5756	0.283328
40	-0.036301	-0.308	0.379476
41	0.015783	0.1339	0.44692
42	0.123783	1.0503	0.148539
43	0.023887	0.2027	0.419975
44	0.012996	0.1103	0.456251
45	-0.082241	-0.6978	0.243764
46	-0.15828	-1.343	0.091737
47	-0.001675	-0.0142	0.494351
48	-0.089526	-0.7596	0.224972
49	0.001243	0.0105	0.495808
50	0.008984	0.0762	0.469723
51	-0.102664	-0.8711	0.193289
52	-0.00389	-0.033	0.48688
53	0.027699	0.235	0.407426
54	0.037794	0.3207	0.374687
55	0.03662	0.3107	0.378451
56	0.067903	0.5762	0.283147
57	-0.046733	-0.3965	0.34644
58	-0.008328	-0.0707	0.471932
59	0.023424	0.1988	0.421507
60	0.012387	0.1051	0.458291

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427441a06k1hcowuxdevd/1xwpw1229427383.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427441a06k1hcowuxdevd/1xwpw1229427383.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427441a06k1hcowuxdevd/2egns1229427383.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/16/t1229427441a06k1hcowuxdevd/2egns1229427383.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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