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autocorrelation < 20

*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: Thu, 18 Dec 2008 07:35:59 -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/18/t1229611105w9xn8he4rb86amy.htm/, Retrieved Thu, 18 Dec 2008 15:38:25 +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/18/t1229611105w9xn8he4rb86amy.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 «

12460 12870 14122 15366 15366 15046 10356 10194 11027 11449 12107 12862 12587 13951 15210 17511 17247 16900 12237 12188 12801 13276 14171 14629 16242 17239 18516 19862 19542 18515 13182 13148 13853 14341 14895 15317 15649 16373 17543 18911 19401 18295 12665 12246 12969 13563 15714 16094 15823 15460 16827 18279 18789 18041 12129 11708 12387 12982 13664 14073 14222 14715 15697 16908 17412 16232 10281 10258 11013 11779 12333 12684 12654 13239 14729 16146 16324 13797 9399 9626 10290 10931 11382 11704 11716 12470 13662 15097 15821 13083 9081 9479 10295 10999 11643 12055 12431 12940 14168 16031 16445 14245 9820 10389 11298 12156 12759 13414 13683 14070 15176 16694 17694 14294 9255 9868 10878 11685 12496 12488

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	3 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	0.772683	8.4643	0
2	0.405996	4.4475	1e-05
3	0.105773	1.1587	0.124444
4	-0.042264	-0.463	0.32211
5	-0.070841	-0.776	0.219629
6	-0.069276	-0.7589	0.224705
7	-0.077858	-0.8529	0.19771
8	-0.054303	-0.5949	0.27653
9	0.075642	0.8286	0.204484
10	0.3312	3.6281	0.00021
11	0.640608	7.0175	0
12	0.811106	8.8852	0
13	0.592842	6.4943	0
14	0.259209	2.8395	0.002654
15	-0.017198	-0.1884	0.425444
16	-0.152993	-1.676	0.048175
17	-0.179379	-1.965	0.025863
18	-0.177107	-1.9401	0.027356
19	-0.179034	-1.9612	0.026085
20	-0.153415	-1.6806	0.047724
21	-0.031528	-0.3454	0.36521
22	0.195272	2.1391	0.017227
23	0.467262	5.1186	1e-06
24	0.60507	6.6282	0
25	0.402591	4.4102	1.1e-05
26	0.108317	1.1866	0.118874
27	-0.131276	-1.4381	0.076511
28	-0.245206	-2.6861	0.004127
29	-0.261555	-2.8652	0.002461
30	-0.254521	-2.7881	0.003083
31	-0.259478	-2.8424	0.002631
32	-0.239349	-2.6219	0.004938
33	-0.135844	-1.4881	0.069674
34	0.062276	0.6822	0.248212
35	0.306017	3.3523	0.000536
36	0.421118	4.6131	5e-06
37	0.237916	2.6062	0.005157
38	-0.01829	-0.2004	0.420769
39	-0.228631	-2.5045	0.006802
40	-0.325099	-3.5613	0.000265
41	-0.332533	-3.6427	2e-04
42	-0.31877	-3.4919	0.000336
43	-0.317859	-3.482	0.000348
44	-0.295051	-3.2321	0.000793
45	-0.197973	-2.1687	0.01604
46	-0.018094	-0.1982	0.421608
47	0.199435	2.1847	0.015427
48	0.294	3.2206	0.000823
49	0.134563	1.4741	0.071542
50	-0.074002	-0.8107	0.209584
51	-0.239644	-2.6252	0.004894
52	-0.309376	-3.389	0.000475
53	-0.313624	-3.4356	0.000406
54	-0.301461	-3.3023	0.000632
55	-0.296869	-3.252	0.000744
56	-0.267837	-2.934	0.002005
57	-0.176218	-1.9304	0.02796
58	-0.018548	-0.2032	0.419668
59	0.164498	1.802	0.037029
60	0.234706	2.5711	0.00568

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.772683	8.4643	0
2	-0.474099	-5.1935	0
3	0.030944	0.339	0.367611
4	0.059568	0.6525	0.257651
5	-0.007024	-0.0769	0.469396
6	-0.082306	-0.9016	0.184534
7	-0.027693	-0.3034	0.381071
8	0.111932	1.2262	0.11127
9	0.263047	2.8815	0.002345
10	0.363599	3.983	5.9e-05
11	0.448389	4.9119	1e-06
12	0.243112	2.6632	0.004402
13	-0.663829	-7.2719	0
14	0.234944	2.5737	0.00564
15	-0.116427	-1.2754	0.102317
16	-0.125399	-1.3737	0.086051
17	-0.064481	-0.7064	0.240667
18	-0.008819	-0.0966	0.4616
19	-0.026631	-0.2917	0.385501
20	-0.107425	-1.1768	0.120806
21	0.033563	0.3677	0.356886
22	-0.027966	-0.3064	0.379934
23	-0.001524	-0.0167	0.493354
24	0.003664	0.0401	0.484024
25	-0.07369	-0.8072	0.210566
26	0.080876	0.886	0.188707
27	0.010339	0.1133	0.455006
28	-0.047893	-0.5246	0.3004
29	0.02621	0.2871	0.387258
30	-0.016771	-0.1837	0.427271
31	-0.118153	-1.2943	0.099023
32	-0.001067	-0.0117	0.495349
33	-0.095222	-1.0431	0.149498
34	0.005252	0.0575	0.477108
35	-0.01861	-0.2039	0.419403
36	-0.048474	-0.531	0.298196
37	-0.018511	-0.2028	0.419825
38	-0.011041	-0.1209	0.451969
39	-0.064364	-0.7051	0.241067
40	-0.019813	-0.217	0.414272
41	-0.004313	-0.0472	0.481198
42	-0.002272	-0.0249	0.490093
43	-0.006784	-0.0743	0.470443
44	0.001685	0.0185	0.492652
45	0.03572	0.3913	0.348138
46	-0.038913	-0.4263	0.335339
47	-0.037791	-0.414	0.339814
48	-0.002826	-0.031	0.487678
49	0.031981	0.3503	0.363351
50	0.063814	0.6991	0.242936
51	0.011625	0.1273	0.449441
52	0.00949	0.104	0.458687
53	-0.066211	-0.7253	0.234837
54	0.031387	0.3438	0.365788
55	0.028148	0.3083	0.379177
56	-0.014878	-0.163	0.435405
57	-0.034172	-0.3743	0.354409
58	-0.020819	-0.2281	0.409992
59	-0.063292	-0.6933	0.244721
60	0.012376	0.1356	0.446194

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611105w9xn8he4rb86amy/17w1r1229610954.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611105w9xn8he4rb86amy/17w1r1229610954.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611105w9xn8he4rb86amy/296021229610954.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229611105w9xn8he4rb86amy/296021229610954.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')

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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