*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 11:57:05 -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/t1229540255448kptb45q8kx6g.htm/, Retrieved Wed, 17 Dec 2008 19:57:35 +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/t1229540255448kptb45q8kx6g.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:

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1721 1476 1842 2171 1670 1540 1266 897 1266 1519 1074 1435 1385 1440 1883 1822 1661 1774 1133 1361 1688 2216 2896 1382 1330 1419 1662 2040 2126 1649 1610 1952 2102 1749 2091 3036 2414 2097 2705 2431 4192 3990 2854 1966 2431 2763 2831 2023 2934 2489 3252 3018 3193 3976 2584 2512 2169 2504 1843 1408 2179 3690 2372 2494 3872 2786 2312 1599 3167 3433 2648 1978 1947 3113 2856 3174 3507 4174 2978 4428 2832 2930 3681 3253 1660 2208 3139 3409 3445 2410 3262 2897 2526 3982 4097 3403 3362 2708 3129 3550 2696 2885 2945 3600 3808 3671 4005

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 2 seconds R Server 'Sir Ronald Aylmer Fisher' @ 193.190.124.24 Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 0.652645 6.751 0 2 0.473626 4.8992 2e-06 3 0.459657 4.7547 3e-06 4 0.478271 4.9473 1e-06 5 0.461754 4.7764 3e-06 6 0.395767 4.0938 4.1e-05 7 0.379803 3.9287 7.6e-05 8 0.403217 4.1709 3.1e-05 9 0.354767 3.6697 0.00019 10 0.329142 3.4047 0.000467 11 0.412881 4.2709 2.1e-05 12 0.407493 4.2151 2.6e-05 13 0.427986 4.4271 1.2e-05 14 0.28271 2.9244 0.002107 15 0.249833 2.5843 0.005553 16 0.24726 2.5577 0.005969 17 0.224311 2.3203 0.011111 18 0.257425 2.6628 0.004473 19 0.17943 1.856 0.0331 20 0.12883 1.3326 0.092742 21 0.077102 0.7976 0.213448 22 0.109985 1.1377 0.128894 23 0.149832 1.5499 0.062062 24 0.204299 2.1133 0.018451 25 0.176435 1.8251 0.035391 26 0.18219 1.8846 0.0311 27 0.098283 1.0166 0.155807 28 0.068014 0.7035 0.241624 29 0.146319 1.5135 0.066546 30 0.046731 0.4834 0.314902 31 -0.035837 -0.3707 0.355796 32 -0.068185 -0.7053 0.241074 33 -0.015241 -0.1577 0.437513 34 -0.065483 -0.6774 0.249819 35 -0.032056 -0.3316 0.370423 36 -0.034079 -0.3525 0.362571 37 0.009915 0.1026 0.459252 38 -0.004976 -0.0515 0.479524 39 -0.041336 -0.4276 0.334908 40 -0.043931 -0.4544 0.325222 41 0.037558 0.3885 0.349206 42 0.076612 0.7925 0.214918 43 -0.041277 -0.427 0.335127 44 -0.102043 -1.0555 0.146777 45 -0.106189 -1.0984 0.137241 46 -0.084028 -0.8692 0.193343 47 -0.042675 -0.4414 0.329895 48 -0.041661 -0.4309 0.333687 49 -0.0762 -0.7882 0.216156 50 -0.081775 -0.8459 0.199752 51 -0.05405 -0.5591 0.288631 52 -0.023543 -0.2435 0.404028 53 0.016301 0.1686 0.433206 54 -0.015711 -0.1625 0.435603 55 -0.020784 -0.215 0.41509 56 -0.090153 -0.9326 0.176576 57 -0.114123 -1.1805 0.12021 58 -0.083795 -0.8668 0.193999 59 -0.107203 -1.1089 0.134975 60 -0.12236 -1.2657 0.104184 Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 0.652645 6.751 0 2 0.083061 0.8592 0.196079 3 0.214023 2.2139 0.01448 4 0.170975 1.7686 0.039907 5 0.099921 1.0336 0.151829 6 0.00165 0.0171 0.493205 7 0.068334 0.7069 0.240598 8 0.090245 0.9335 0.176331 9 -0.039209 -0.4056 0.342931 10 0.034635 0.3583 0.360423 11 0.199215 2.0607 0.020878 12 0.008256 0.0854 0.466052 13 0.140511 1.4535 0.074512 14 -0.226663 -2.3446 0.010446 15 0.003838 0.0397 0.484202 16 -0.093563 -0.9678 0.167658 17 -0.031287 -0.3236 0.373425 18 0.102964 1.0651 0.14462 19 -0.156031 -1.614 0.054737 20 -0.023012 -0.238 0.406153 21 -0.152927 -1.5819 0.058313 22 0.076433 0.7906 0.215456 23 0.044078 0.4559 0.324676 24 0.09025 0.9336 0.176317 25 0.074031 0.7658 0.222744 26 0.021051 0.2178 0.414017 27 -0.072145 -0.7463 0.228571 28 -0.040628 -0.4203 0.337568 29 0.12043 1.2457 0.107792 30 -0.222827 -2.3049 0.01155 31 -0.138364 -1.4312 0.077637 32 0.029632 0.3065 0.379903 33 0.046249 0.4784 0.31667 34 -0.110202 -1.1399 0.128429 35 0.09867 1.0207 0.15486 36 -0.08048 -0.8325 0.203493 37 0.018117 0.1874 0.42585 38 0.032799 0.3393 0.367534 39 0.052519 0.5433 0.29404 40 -0.026933 -0.2786 0.390545 41 0.197968 2.0478 0.021515 42 0.03571 0.3694 0.356283 43 -0.05565 -0.5756 0.283032 44 -0.08874 -0.9179 0.180358 45 0.011072 0.1145 0.454515 46 -0.090552 -0.9367 0.175516 47 0.153819 1.5911 0.057267 48 -0.06164 -0.6376 0.262545 49 -0.056877 -0.5883 0.27877 50 -0.05467 -0.5655 0.286454 51 0.004571 0.0473 0.481189 52 0.007423 0.0768 0.469469 53 0.019186 0.1985 0.421532 54 0.00793 0.082 0.467388 55 -0.035736 -0.3697 0.356186 56 -0.000553 -0.0057 0.497721 57 0.051163 0.5292 0.298868 58 -0.014554 -0.1505 0.440309 59 -0.136658 -1.4136 0.08019 60 -0.010313 -0.1067 0.457623

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229540255448kptb45q8kx6g/1y9xq1229540220.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229540255448kptb45q8kx6g/1y9xq1229540220.ps (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229540255448kptb45q8kx6g/2x28s1229540220.png (open in new window) http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/17/t1229540255448kptb45q8kx6g/2x28s1229540220.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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