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autocorrelation 20-25 d=1

*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 08:13:35 -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/t1229613257jnrn3766r6jaxzu.htm/, Retrieved Thu, 18 Dec 2008 16:14:19 +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/t1229613257jnrn3766r6jaxzu.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 «

40628 40167 43375 45610 46255 44375 35461 38096 40813 41582 44461 46390 45744 47990 51847 56641 55016 53119 44471 45200 46256 46922 48965 49447 51702 52837 56273 59070 57871 54862 44357 45264 47111 49050 50518 51824 53495 54623 58088 61321 60205 56527 45623 46127 48141 50648 52441 53661 54156 54245 58182 60436 59412 55903 43648 43555 45483 46956 49087 50433 50505 50890 53703 55276 53959 49732 37776 38437 40187 41626 42682 43647 43625 44352 49669 50986 48869 43127 33629 34948 36346 37607 38948 40274 40044 41139 45041 47433 48126 41639 33538 34742 37152 38399 41374 43363 44071 45080 48487 52140 52780 46700 38202 39915 42199 44356 46188 47883 48149 48201 51438 55796 55989 48794 39252 41414 43856 46086 48284 50101

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	0.352214	3.8422	9.9e-05
2	-0.116072	-1.2662	0.103959
3	-0.341269	-3.7228	0.000151
4	-0.30181	-3.2924	0.000654
5	-0.064735	-0.7062	0.24073
6	-0.000414	-0.0045	0.498203
7	-0.05156	-0.5625	0.287431
8	-0.26858	-2.9299	0.002033
9	-0.293068	-3.197	0.00089
10	-0.094752	-1.0336	0.151703
11	0.340563	3.7151	0.000155
12	0.868809	9.4776	0
13	0.309293	3.374	5e-04
14	-0.091815	-1.0016	0.159288
15	-0.319568	-3.4861	0.000344
16	-0.285631	-3.1159	0.00115
17	-0.070151	-0.7653	0.222816
18	-0.014169	-0.1546	0.438711
19	-0.054258	-0.5919	0.277526
20	-0.242376	-2.644	0.004649
21	-0.243387	-2.655	0.004508
22	-0.082344	-0.8983	0.185427
23	0.313331	3.418	0.000432
24	0.76987	8.3983	0
25	0.262868	2.8676	0.002447
26	-0.084237	-0.9189	0.179999
27	-0.301913	-3.2935	0.000652
28	-0.268552	-2.9296	0.002035
29	-0.06903	-0.753	0.22646
30	-0.003178	-0.0347	0.4862
31	-0.037933	-0.4138	0.339884
32	-0.21329	-2.3267	0.010836
33	-0.219936	-2.3992	0.008991
34	-0.079727	-0.8697	0.193103
35	0.287587	3.1372	0.001075
36	0.666783	7.2737	0
37	0.215766	2.3537	0.010113
38	-0.072096	-0.7865	0.216575
39	-0.274671	-2.9963	0.001663
40	-0.241812	-2.6379	0.004729
41	-0.068978	-0.7525	0.226631
42	0.002874	0.0314	0.487519
43	-0.026089	-0.2846	0.388222
44	-0.191469	-2.0887	0.019434
45	-0.1896	-2.0683	0.020389
46	-0.068022	-0.742	0.229764
47	0.264791	2.8885	0.0023
48	0.563417	6.1462	0
49	0.157455	1.7176	0.044233
50	-0.075317	-0.8216	0.206471
51	-0.229139	-2.4996	0.006898
52	-0.189907	-2.0716	0.02023
53	-0.060243	-0.6572	0.256169
54	0.005502	0.06	0.476122
55	-0.027648	-0.3016	0.381738
56	-0.155696	-1.6984	0.046019
57	-0.153891	-1.6787	0.047913
58	-0.056747	-0.619	0.268539
59	0.236377	2.5786	0.00557
60	0.455129	4.9649	1e-06

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	0.352214	3.8422	9.9e-05
2	-0.274134	-2.9904	0.001693
3	-0.237775	-2.5938	0.005342
4	-0.139458	-1.5213	0.065417
5	0.00487	0.0531	0.478859
6	-0.154337	-1.6836	0.047439
7	-0.17217	-1.8782	0.031404
8	-0.383807	-4.1868	2.7e-05
9	-0.337204	-3.6785	0.000177
10	-0.344902	-3.7624	0.000131
11	-0.016397	-0.1789	0.42917
12	0.728576	7.9478	0
13	-0.207539	-2.264	0.012693
14	0.17782	1.9398	0.027386
15	0.118692	1.2948	0.098952
16	0.092821	1.0126	0.156663
17	0.032078	0.3499	0.363504
18	0.007054	0.0769	0.469398
19	0.0032	0.0349	0.486105
20	0.001435	0.0157	0.493767
21	0.022321	0.2435	0.40402
22	-0.074164	-0.809	0.210056
23	-0.051955	-0.5668	0.285972
24	0.067703	0.7386	0.230817
25	-0.12916	-1.409	0.080725
26	-0.047552	-0.5187	0.302456
27	-0.036604	-0.3993	0.345194
28	-0.052588	-0.5737	0.283639
29	-0.034195	-0.373	0.354895
30	0.051334	0.56	0.288269
31	0.015786	0.1722	0.431786
32	0.009803	0.1069	0.45751
33	-0.037357	-0.4075	0.342181
34	0.023355	0.2548	0.399667
35	-0.01837	-0.2004	0.420756
36	-0.077165	-0.8418	0.200803
37	-0.057072	-0.6226	0.267375
38	-0.018589	-0.2028	0.419826
39	-0.02106	-0.2297	0.409343
40	-0.02719	-0.2966	0.383641
41	-0.067482	-0.7361	0.231545
42	-0.012934	-0.1411	0.444018
43	-0.027583	-0.3009	0.382009
44	-0.052962	-0.5778	0.282262
45	-0.003897	-0.0425	0.48308
46	0.003312	0.0361	0.485618
47	-0.006336	-0.0691	0.472506
48	-0.077054	-0.8406	0.201141
49	-0.070631	-0.7705	0.221267
50	-0.065459	-0.7141	0.238291
51	0.03625	0.3954	0.346615
52	-0.002318	-0.0253	0.489935
53	-0.061659	-0.6726	0.251245
54	-0.001432	-0.0156	0.49378
55	-0.036024	-0.393	0.347522
56	0.073807	0.8051	0.211174
57	-0.004227	-0.0461	0.481649
58	0.006898	0.0752	0.470071
59	-0.007806	-0.0851	0.466143
60	-0.065212	-0.7114	0.239121

Charts produced by software:

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613257jnrn3766r6jaxzu/1zmx21229613214.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613257jnrn3766r6jaxzu/1zmx21229613214.ps (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613257jnrn3766r6jaxzu/22kbv1229613214.png (open in new window)

http://127.0.0.1/wessadotnet/public_html/freestatisticsdotorg/blog/date/2008/Dec/18/t1229613257jnrn3766r6jaxzu/22kbv1229613214.ps (open in new window)

Parameters (Session):

par1 = 60 ; par2 = 1 ; par3 = 1 ; par4 = 0 ; par5 = 12 ;

Parameters (R input):

par1 = 60 ; par2 = 1 ; par3 = 1 ; 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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