*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: Wed, 17 Dec 2008 05:46:58 -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/17/t1229518086oej87l8u4x5rk1l.htm/, Retrieved Wed, 17 Dec 2008 13:48:08 +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/17/t1229518086oej87l8u4x5rk1l.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 «

15023.6 12083 15761.3 16943 15070.3 13659.6 14768.9 14725.1 15998.1 15370.6 14956.9 15469.7 15101.8 11703.7 16283.6 16726.5 14968.9 14861 14583.3 15305.8 17903.9 16379.4 15420.3 17870.5 15912.8 13866.5 17823.2 17872 17420.4 16704.4 15991.2 16583.6 19123.5 17838.7 17209.4 18586.5 16258.1 15141.6 19202.1 17746.5 19090.1 18040.3 17515.5 17751.8 21072.4 17170 19439.5 19795.4 17574.9 16165.4 19464.6 19932.1 19961.2 17343.4 18924.2 18574.1 21350.6 18840.1 20304.8 21132.4 19753.9

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 0.566446 4.4241 2e-05 2 0.410465 3.2058 0.001072 3 0.506342 3.9547 0.000101 4 0.5232 4.0863 6.5e-05 5 0.457511 3.5733 0.000348 6 0.55264 4.3163 3e-05 7 0.357248 2.7902 0.00351 8 0.430089 3.3591 0.000676 9 0.367899 2.8734 0.00279 10 0.179112 1.3989 0.083452 11 0.292841 2.2872 0.012835 12 0.564935 4.4123 2.1e-05 13 0.241784 1.8884 0.031866 14 0.14754 1.1523 0.126842 15 0.170331 1.3303 0.094182 16 0.150585 1.1761 0.122061 17 0.14796 1.1556 0.126174 18 0.182676 1.4267 0.079376 19 0.013107 0.1024 0.459398 20 0.075076 0.5864 0.279898 21 0.014067 0.1099 0.456437 22 -0.162571 -1.2697 0.104503 23 -0.018918 -0.1478 0.441513 24 0.135189 1.0559 0.147598 25 -0.081769 -0.6386 0.262725 26 -0.127487 -0.9957 0.161663 27 -0.137694 -1.0754 0.14321 28 -0.144994 -1.1324 0.13094 29 -0.128897 -1.0067 0.159023 30 -0.127171 -0.9932 0.162259 31 -0.218722 -1.7083 0.046335 32 -0.135962 -1.0619 0.146234 33 -0.224122 -1.7504 0.042535 34 -0.3221 -2.5157 0.007265 35 -0.217428 -1.6982 0.047286 36 -0.113579 -0.8871 0.189259 37 -0.249025 -1.9449 0.028197 38 -0.283003 -2.2103 0.015422 39 -0.299624 -2.3401 0.011282 40 -0.266959 -2.085 0.02063 41 -0.269014 -2.1011 0.019887 42 -0.271806 -2.1229 0.018916 43 -0.315777 -2.4663 0.008239 44 -0.216632 -1.6919 0.047879 45 -0.268195 -2.0947 0.020181 46 -0.318023 -2.4838 0.00788 47 -0.24717 -1.9305 0.029101 48 -0.147931 -1.1554 0.12622 49 -0.199015 -1.5544 0.062636 50 -0.224269 -1.7516 0.042435 51 -0.214045 -1.6717 0.049849 52 -0.160739 -1.2554 0.107058 53 -0.154371 -1.2057 0.1163 54 -0.158104 -1.2348 0.110814 55 -0.160995 -1.2574 0.106699 56 -0.10002 -0.7812 0.218858 57 -0.091948 -0.7181 0.237707 58 -0.110225 -0.8609 0.196337 59 -0.078857 -0.6159 0.270129 60 -0.019881 -0.1553 0.438559 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.566446 4.4241 2e-05 2 0.131938 1.0305 0.153429 3 0.344329 2.6893 0.004611 4 0.199806 1.5605 0.061903 5 0.101364 0.7917 0.215809 6 0.293291 2.2907 0.012726 7 -0.248276 -1.9391 0.02856 8 0.262124 2.0473 0.022474 9 -0.281235 -2.1965 0.015933 10 -0.269301 -2.1033 0.019785 11 0.26087 2.0375 0.022974 12 0.311469 2.4327 0.008968 13 -0.283189 -2.2118 0.015369 14 -0.068154 -0.5323 0.298227 15 -0.130898 -1.0223 0.155327 16 -0.07501 -0.5858 0.280071 17 -0.051057 -0.3988 0.345728 18 -0.039388 -0.3076 0.379704 19 0.043102 0.3366 0.368774 20 -0.159325 -1.2444 0.109062 21 0.022105 0.1726 0.43175 22 -0.047467 -0.3707 0.356062 23 0.124755 0.9744 0.166862 24 -0.047218 -0.3688 0.356783 25 0.009101 0.0711 0.471783 26 0.007649 0.0597 0.47628 27 -0.108747 -0.8493 0.199506 28 0.08375 0.6541 0.257749 29 -0.220244 -1.7202 0.045236 30 0.045837 0.358 0.360789 31 -0.000309 -0.0024 0.499041 32 -0.004352 -0.034 0.486499 33 0.000353 0.0028 0.498905 34 0.059956 0.4683 0.32063 35 -0.104713 -0.8178 0.208317 36 0.022433 0.1752 0.430748 37 -0.082908 -0.6475 0.259858 38 -0.073134 -0.5712 0.284984 39 0.021117 0.1649 0.434772 40 -0.088069 -0.6878 0.24708 41 0.010903 0.0852 0.466208 42 -0.050239 -0.3924 0.348074 43 0.011773 0.092 0.463519 44 0.051996 0.4061 0.343043 45 0.126265 0.9862 0.163975 46 -0.037702 -0.2945 0.384701 47 0.062071 0.4848 0.31478 48 -0.027252 -0.2128 0.416079 49 0.007827 0.0611 0.475728 50 -0.008874 -0.0693 0.472486 51 -0.017264 -0.1348 0.446594 52 0.026098 0.2038 0.419583 53 -0.022603 -0.1765 0.430228 54 0.022694 0.1772 0.429951 55 -0.00345 -0.0269 0.489295 56 -0.016506 -0.1289 0.448924 57 0.030416 0.2376 0.406512 58 0.052394 0.4092 0.341909 59 -0.040247 -0.3143 0.377169 60 -0.090347 -0.7056 0.24155

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518086oej87l8u4x5rk1l/1ld981229518016.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518086oej87l8u4x5rk1l/1ld981229518016.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518086oej87l8u4x5rk1l/2332l1229518016.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229518086oej87l8u4x5rk1l/2332l1229518016.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')

Copyright

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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