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Japan: d=1; D=0

*Unverified author*

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 11:01:56 -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/t1229536939whr7qbesihtiii7.htm/, Retrieved Wed, 17 Dec 2008 19:02:21 +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/t1229536939whr7qbesihtiii7.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 «

122.36 123.33 123.04 124.53 125.13 125.85 126.50 126.53 127.07 124.55 124.90 124.32 122.84 123.31 123.31 124.87 124.64 124.73 124.90 124.04 123.28 123.86 122.29 124.09 124.54 125.65 125.70 125.53 125.61 125.55 125.41 127.60 124.68 124.41 126.43 126.38 125.78 124.70 125.07 125.25 126.58 127.13 125.82 123.70 124.39 123.70 124.42 121.05 121.02 123.23 121.32 120.91 120.72 123.31 119.58 119.53 120.59 118.63 118.47 111.81 114.71 117.34 115.77 118.38 117.84 118.83 120.02 116.21 117.08 120.20 119.83 118.92 118.03 117.71 119.55 116.13 115.97 115.99 114.96 116.46 116.55 113.05 117.44 118.84 117.06 117.54 119.31 118.72 121.55 122.61 121.53 123.31 124.07 123.59 122.97 123.22 123.04 122.96 122.81 122.81 122.62 120.82 119.41 121.56 121.59 118.50 118.77 118.86 117.60 119.90 121.83 121.84 122.12 122.12 121.36 119.66 119.32 120.36 117.06 117.48 115.60 113.86 116.92 117.75 117.75 115.31 116.28 115.22 115.65 115.11 118.67 118.04 116.50 119.78 119.95 120.37 119.79 119.43 121.06 121.74 121.09 122.97 120.50 117.18 115.03 113.36 112.59 111.65 111.98 114.87 114.67 114.09 114.77 117.05 117.22 113.18 110.95 112.14 112.72 110.01 110.29 110.74 110.32 105.89 108.97 109.34 106.57 99.49 101.81 104.29 109.73 105.06 107.97 108.13 109.86 108.95 111.20 110.69 106.10 105.68 104.12 104.71 104.30 103.52 107.76 107.80 107.30 108.64 105.03 108.30 107.21 109.27 109.50 111.68 111.80 111.75 106.68 106.37 105.76 109.01 109.01 109.01 109.01 107.69 105.19 105.48 102.22 100.54 105.00 105.44 107.89 108.64 106.70 109.10 105.23 108.41 108.80 110.39 110.22 110.86 108.58 107.70 106.62 109.84 107.16 107.26 108.70 109.85 109.41 112.36 111.03 110.67 109.21 113.58 113.88 114.08 112.33 113.92 114.41 114.57 115.35 113.13 113.29 112.56 113.06 113.46 115.39 116.62 117.04 117.42 115.62 115.16 115.69 112.85 114.05 112.00 113.74 116.26 118.63 116.49 118.23 116.83 118.82 114.36 112.02 113.24 109.75 110.33 112.86 113.04 113.80 110.90 109.96 108.69 108.84 108.47 108.07 107.94 108.11 108.11 106.81 105.58 105.61 106.52 103.86 104.60 104.73 105.12 104.76 103.85 103.83 103.22 101.64 102.13 104.33 104.92 107.78 104.49 102.80 102.86 104.51 104.73 102.58 99.93 101.41 101.05 99.86 101.11 100.89 101.09 98.31 98.08 99.55 99.62 97.37 98.16 97.98 98.15 97.10 97.24 96.70 96.64 100.65 96.75 97.74 97.92 98.34 93.84 97.80 96.20 95.99 95.18 95.95 92.23 91.78 92.97 89.76 92.88 96.23 95.79 93.97 93.90 93.60 93.96 88.69 88.57 85.62 86.25 85.33 83.33 77.78 78.70 72.05 80.75 81.41 82.65 75.85 75.70 78.25 77.41 76.84 74.25 74.95 68.78 73.21 73.26 78.67 75.63 74.99 83.87 79.62 80.13 79.76 78.20 78.05 79.05 73.32 75.17 73.26 73.72 73.57 70.60 71.25 74.22 73.32 73.01 74.21 75.32 71.73 71.94 72.94 72.47 71.94 74.30 74.30

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	0.981949	19.5159	0
2	0.968622	19.251	0
3	0.954498	18.9703	0
4	0.941885	18.7196	0
5	0.927859	18.4408	0
6	0.914078	18.1669	0
7	0.900661	17.9003	0
8	0.890024	17.6889	0
9	0.876797	17.426	0
10	0.865277	17.197	0
11	0.854454	16.9819	0
12	0.841555	16.7256	0
13	0.828539	16.4669	0
14	0.814226	16.1824	0
15	0.803104	15.9614	0
16	0.791972	15.7401	0
17	0.778483	15.472	0
18	0.765724	15.2185	0
19	0.752009	14.9459	0
20	0.74053	14.7177	0
21	0.729557	14.4997	0
22	0.716945	14.249	0
23	0.706561	14.0426	0
24	0.695628	13.8253	0
25	0.683736	13.589	0
26	0.67287	13.373	0
27	0.658919	13.0958	0
28	0.644566	12.8105	0
29	0.632735	12.5754	0
30	0.617474	12.272	0
31	0.602662	11.9777	0
32	0.584921	11.6251	0
33	0.570116	11.3308	0
34	0.557532	11.0807	0
35	0.544318	10.8181	0
36	0.531787	10.569	0
37	0.518908	10.3131	0
38	0.506531	10.0671	0
39	0.493259	9.8033	0
40	0.482423	9.588	0
41	0.469707	9.3352	0
42	0.45732	9.0891	0
43	0.441075	8.7662	0
44	0.42706	8.4877	0
45	0.413553	8.2192	0
46	0.402314	7.9958	0
47	0.391772	7.7863	0
48	0.380269	7.5577	0
49	0.369048	7.3347	0
50	0.357909	7.1133	0
51	0.348383	6.924	0
52	0.340834	6.7739	0
53	0.334248	6.643	0
54	0.326049	6.4801	0
55	0.318711	6.3342	0
56	0.312518	6.2112	0
57	0.308984	6.1409	0
58	0.303173	6.0254	0
59	0.296207	5.887	0
60	0.290218	5.768	0

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.981949	19.5159	0
2	0.122929	2.4432	0.007498
3	-0.012109	-0.2407	0.404972
4	0.032071	0.6374	0.262116
5	-0.035992	-0.7153	0.237414
6	-0.010066	-0.2001	0.420767
7	0.005838	0.116	0.453844
8	0.072414	1.4392	0.075444
9	-0.058462	-1.1619	0.122987
10	0.025316	0.5031	0.307574
11	0.029621	0.5887	0.278196
12	-0.068834	-1.368	0.086038
13	-0.01871	-0.3718	0.355103
14	-0.042984	-0.8543	0.196733
15	0.072709	1.4451	0.074616
16	0.010839	0.2154	0.414775
17	-0.065777	-1.3073	0.095937
18	0.003474	0.0691	0.472492
19	-0.046004	-0.9143	0.180558
20	0.051478	1.0231	0.153441
21	0.023333	0.4637	0.321548
22	-0.040707	-0.809	0.209493
23	0.044243	0.8793	0.189883
24	-0.014805	-0.2942	0.384363
25	-0.025017	-0.4972	0.309664
26	0.005509	0.1095	0.456433
27	-0.086947	-1.728	0.042381
28	-0.044423	-0.8829	0.188916
29	0.068703	1.3654	0.086446
30	-0.073526	-1.4613	0.072364
31	-0.042517	-0.845	0.199307
32	-0.090407	-1.7968	0.036566
33	0.049941	0.9926	0.160768
34	0.069533	1.3819	0.083887
35	-0.002553	-0.0507	0.479777
36	0.010307	0.2049	0.418897
37	-0.036177	-0.719	0.236279
38	0.019929	0.3961	0.346133
39	-0.04047	-0.8043	0.210847
40	0.07523	1.4952	0.067834
41	-0.057321	-1.1392	0.127649
42	-0.025267	-0.5022	0.307913
43	-0.063158	-1.2552	0.105066
44	-0.001961	-0.039	0.484466
45	0.018979	0.3772	0.353113
46	0.033769	0.6711	0.251262
47	0.044054	0.8756	0.190901
48	-0.005628	-0.1118	0.4555
49	-0.023024	-0.4576	0.323751
50	-0.029043	-0.5772	0.282057
51	0.045432	0.9029	0.183553
52	0.062431	1.2408	0.107709
53	0.060852	1.2094	0.113613
54	-0.022638	-0.4499	0.326508
55	-0.007137	-0.1418	0.44364
56	0.044878	0.8919	0.186487
57	0.073502	1.4608	0.07243
58	-0.042916	-0.8529	0.197107
59	-0.035781	-0.7111	0.238711
60	0.000842	0.0167	0.493327

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536939whr7qbesihtiii7/1slkm1229536914.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536939whr7qbesihtiii7/1slkm1229536914.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536939whr7qbesihtiii7/2bmew1229536914.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229536939whr7qbesihtiii7/2bmew1229536914.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 1 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 0 ; par4 = 0 ; par5 = 1 ;

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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